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
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...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
Taming the finance monster
The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...
A flow-based explanation for return predictability
Review of Financial Studies, 25 (12). pp. 3457-3489.
Market Liquidity - Theory and Empirical Evidence
In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...
Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...
Asset Pricing with Heterogeneous Investors and Portfolio Constraints
We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...
Stock Market Tournaments
We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...
