Research highlights
Influential research by members of the Paul Woolley Centre has been published in some of the most recognised international journals in Economics and Finance, such as the American Economic Review, Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies. A sample of recent papers is below.
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Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
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Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
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Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
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Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
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Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
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Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
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Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
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The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
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Extrapolative Bubbles and Trading Volume
The Review of Financial Studies, 35(4), 1682–1722
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Clients' Connections Measuring the Role of Private Information in Decentralized Markets
Journal of Finance, 77(1), 505-544
All publications
Attracting investor attention through advertising
Review of Financial Studies, 27 (6). pp. 1797-1829.
Activist Funds, Leverage, and Procyclicality
We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...
The Fallibility of the Efficient Market Theory: a new paradigm
The efficient market theory has failed to explain the market behavior and asset pricing of recent years. A new model that incorporates the principal...
Ties that Bind: How business connections affect mutual fund activism
We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...
Liquidity Risk and the Dynamics of Arbitrage Capital
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...
Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints
Review of Financial Studies, 26 (12). pp. 3104-3141.
Chasing trends is a dangerous game
Big investors currently pursue two very different strategies when appointing external managers. Their traditional approach is to hire fund managers...
Anticipated and repeated shocks in liquid markets
Review of Financial Studies, 26 (8). pp. 1891-1912.
Bond market clienteles, the yield curve, and the optimal maturity structure of government debt
Review of Financial Studies, 26 (8). pp. 1914-1961.
Trading frenzies and their impact on real investment
Journal of Financial Economics, 109 (2). pp. 566-582.
Momentum investing is bad for your wealth
Managers should focus on companies, not prices, says Paul Woolley.
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
