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
Bond supply and excess bond returns
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...