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
Fund Flows and Asset Prices: A Baseline Model
We study flows between investment funds and their effects on asset prices in a simple two-period version of Vayanos and Woolley (2010, VW). As in VW...
Attracting Investor Attention through Advertising
This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...
A Flow-Based Explanation for Return Predictability
This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...
A Preferred-Habitat Model of the Term Structure of Interest Rates
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities...
Capital Market Theory after the Efficient Market Hypothesis
Have capital market booms and crashes discredited the efficient market hypothesis? This column says yes and suggests a new model that explains asset...
Rents, learning and risk in the financial sector and other innovative industries
We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...
Liquidity and Asset Prices A Unified Framework
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...
The lifecycle of the financial sector and other speculative industries
This paper is no longer available, the revised version of this paper can be found as Paul Woolley Centre Paper 4, FMG Discussion Paper 632
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Best ideas
This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...
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...
