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
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...
Investing for your own and the greater good
Most of us have been brought up to believe that free markets combined with healthy competition deliver good outcomes. We also presume that what holds...
Dynamic hedging in incomplete markets: a simple solution
Review of Financial Studies, 25 (6). pp. 1845-1896.
Liquidity and asset returns under asymmetric information and imperfect competition
Review of Financial Studies, 25 (5). pp. 1339-1365.
The flip side: high frequency trading
HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.
New light on choice of investment strategy
According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...
What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...
The Wall Street Walk when Blockholders Compete for Flows
An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...
Making Europe Safer
Open letter by the international Euro-nomics academic group (www.euro-nomics.com), composed of Markus Brunnermeier, Luis Garicano, Philip R. Lane...