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
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...
Delegated Activism and Disclosure
Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...
CDS Auctions
We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...
Anticipated and Repeated Shocks in Liquid Markets
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...
Complicated Firms
We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...
Dynamic Hedging in Incomplete Markets: A Simple Solution
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...
Institutional trade persistence and long-term equity returns
The Journal of Finance, 66 (2). pp. 635-653.
Preferred-Habitat Investors and the US Term Structure of Real Rates
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...
Trading and Voting in Distressed Firms
We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...
Trading Frenzies and Their Impact on Real Investment
We study a model where a capital provider learns from the price of a firm’s security in deciding how much capital to provide for new investment. This...
Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...
