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.
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Research highlight
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Research highlight
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Research highlight
The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
Research highlight
Extrapolative Bubbles and Trading Volume
The Review of Financial Studies, 35(4), 1682–1722
Research highlight
Clients' Connections Measuring the Role of Private Information in Decentralized Markets
Journal of Finance, 77(1), 505-544
All publications
Ties that Bind: How Business Connections Affect Mutual Fund Activism
Journal of Finance, 71(6), 2933-2966.
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
What is the Expected Return on a Stock?
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
Learning in Crowded Markets
We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets
Review of Financial Studies, 28 (12): 3303-3337.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
