Blue skies above city financial district

Research


The Department of Finance is one of the largest and most respected finance groups in Europe. We have recognised research strength in most areas of theoretical empirical asset pricing and theoretical empirical corporate finance as well as financial intermediation and finance regulation.

A number of our faculty members hold editorial positions at leading academic journals in the field. Recent notable appointments have been Dimitri Vayanos as a Director of the American Finance Association, and Christopher Polk and Daniel Paravasini as Associate Editors of the Journal of Finance.

We have also had significant recent successes in the prestigious American Finance Association awards, with Ulf Axelson, Daniel Paravasini and Vicente Cuñat winning Brattle Prize awards.

Below is a collection of some notable forthcoming and recently published papers in the most recognised international journals in the field (Journal of Finance, Review of Financial Studies, Journal of Financial Economics, American Economic Review, Journal of Political Economy, Quarterly Journal of Economics, Econometrica, and Review of Economic Studies).

2017 and forthcoming

Martin

What is the Expected Return on the Market?, Ian Martin, Quarterly Journal of Economics, 2017; 132 (1): 367-433. doi: 10.1093/qje/qjw034 

 

Julliard

What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models, Anisha Ghosh, Christian Julliard and Alex Taylor, Review of Financial Studies, 30 (2): 442-504

2016

Oehmke

"The Anatomy of the CDS Market", Martin Oehmke and Adam Zawadowski, Review of Financial Studies 30 (1): 80-119. doi: 10.1093/rfs/hhw068 (2016)

 

Lou

Industry Window Dressing, Huaizhi Chen, Lauren Cohen, Dong Lou, Review of Financial Studies, 29 (12): 3354-3393

 

Dasgupta

Ties that Bind: How business ties affect mutual fund activism, Dragana Cvijanovic, Amil Dasgupta and Konstantinos Zachariadis, Journal of Finance, 71, 2933–2966

Vedolin

Mortgage Risk and the Yield Curve, Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter, Review of Financial Studies, 29 (5), 1220-1253

Agrawal

Private Equity and Workers’ Career Paths: The Role of Technological Change", Ashwini Agrawal and Prasanna Tambe, Review of Financial Studies, 2016, 29 (9): 2455-2489

 

Kondor

Inefficient Investment Waves, Zhiguo He and Peter Kondor, Econometrica, 84 (2), 735-780

2015

Oehmke

Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets, M. Oehmke and A. Zawadowski, Review of Financial Studies 28 (12), 3303-3337

Dasgupta

The Wall Street Walk When Blockholders Compete for Flows, Amil Dasgupta and Giorgia Piacentino, Journal of Finance, 70 (6), 2853–2896

Jenter

CEO Preferences and Acquisitions, Dirk Jenter and Katharina Lewellen, Journal of Finance, 70 (6), 2813–2852

Oehmke

Should Derivatives Be Privileged in Bankruptcy?, Patrick Bolton and Martin Oehmke, Journal of Finance, 70 (6), 2353–2394

Martin

Averting Catastrophes: The Strange Economics of Scylla and Charybdis, Ian Martin and Robert Pindyck, American Economic Review, 105 (10), 2947-85

Jenter

CEO Turnover and Relative Performance Evaluation, Dirk Jenter and Fadi Kanaan, Journal of Finance, 70 (5), 2155–2184

Ulf Axelson

Wall Street Occupations, Ulf Axelson and Philip Bond, Journal of Finance, 70 (5), 1949-1996

Makarov

Rewarding Trading Skills Without Inducing Gambling, Makarov, I., and Plantin, G., Journal of Finance, 70 (3), 925–962

Bustamante

Strategic Investment and Industry Risk Dynamics, Maria Cecilia Bustamante, Review of Financial Studies, 28 (2) pp. 297- 341 

Paravisini

Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data, D. Paravisini, V. Rappoport, P. Schnabl, and D. Wolfenzon, Review of Economic Studies, 82 (1) pp. 333-359

2014

Christopher Polk

Connected Stocks, Miguel Anton and Christopher Polk, Journal of Finance, 69 pp. 1099–1127

Lou

Attracting Investor Attention through Advertising, Dong Lou, Review of Financial Studies, 27 (6) pp. 1797-1829

Vayanos

Bond Supply and Bond Excess Returns, Robin Greenwood and Dimitri Vayanos, Review of Financial Studies, 27 (3), pp. 663-713

Vedolin

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia, Andrea Buraschi, Fabio Trojani and Andrea Vedolin, Journal of Finance, 69 (1) pp. 101-137

Ferreira

Incentives to Innovate and the Decision to Go Public or Private,D. Ferreira, G. Manso and A. Silva, Review of Financial Studies, 27 (1) pp. 256-300

2013

Georgy Chabakauri

Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints, G. Chabakauri,, Review of Financial Studies, 26 (12) pp. 3104-3141

Tamoni

Long Run Risk and the Persistence of Consumption Shocks, F. Ortu, A. Tamoni and C. Tebaldi, Review of Financial Studies, 26 (11) pp. 2876-2915

Ulf Axelson

Borrow Cheap, Buy High? Determinants of Leverage and Pricing in Buyouts, U. Axelson, T. Jenkinson, P. Strömberg, and M. Weisbach, Journal of Finance, 68 (6) pp. 2223–2267

Vayanos

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, S. Guibaud, Y. Nosbusch and D. VayanosReview of Financial Studies, 26 (8) pp.1914-1961

Lou

Anticipated and Repeated Shocks in Liquid Markets, Dong Lou, Hongjun Yan and Jinfan Zhang, Review of Financial Studies, 26 (8) pp.1891-1912

Makarov

Equilibrium Subprime Lending, Makarov, I. and Plantin, G., Journal of Finance, 68 (3) pp. 849–879

Yuan

Trading Frenzies and Their Impact on Real Investment, Goldstein, Itay, Emre, Ozdenoren and K. Yuan, Journal of Financial Economics, 109 (2) pp. 566–582

Martin

Consumption-Based Asset Pricing with Higher Cumulants, I. Martin, Review of Economic Studies, 80 (2) pp. 745-773

Vayanos

An Institutional Theory of Momentum and Reversal, D. Vayanos and P. Woolley, Review of Financial Studies, 26 (5) pp. 1087-1145

Favilukis

Inequality, stock market participation, and the equity premium, J. Favilukis, Journal of Financial Economics, 107 (3) pp. 740-759

Martin

The Lucas Orchard, I. Martin, Econometrica, 81 (1) pp. 55-111

2012

Lou

A Flow-Based Explanation for Return Predictability, D. Lou, Review of Financial Studies, 25 (12) pp. 3457-3489

Mueller

The Term Structure of Inflation Expectations, M. Chernov and P. Mueller, Journal of Financial Economics, 106 (2) pp. 367-394

Julliard

Can Rare Events Explain the Equity Premium Puzzle?, C. Julliard and A. Ghosh, Review of Financial Studies, 25 (10) pp. 3037-3076

Cunat

The vote is cast: The effect of corporate governance on shareholder value, V. Cunat, M. Guadalupe, and M. Gine, Journal of Finance, 67 (5) pp. 1943-1977

Michela Verardo

Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability, Michela Verardo and Andrew Patton, Review of Financial Studies, 25 (9) pp. 2789-2839

Lou

Complicated Firms, L. Cohen and D. Lou, Journal of Financial Economics, 104 (2) pp. 383-400

Anderson

Corporate Liquidity and Capital Structure, R. Anderson and A. Carverhill, Review of Financial Studies, 2012

Cunat

Search, Design, and Market Structure, H. Bar-Isaac, V. Cunat, and G. Caruana, American Economic Review, 2012

Vayanos

Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, D. Vayanos and J. Wang, Review of Financial Studies, 2012

Martin

On the Valuation of Long-Dated Assets, I. Martin, Journal of Political Economy, 2012

Ferreira

Board structure and price informativeness, D. Ferreira, M. Ferreira, and C. Raposo, Journal of Financial Economics, 2011

Martin

Disasters implied by equity index options, D. Backus, M. Chernov, and I. Martin, Journal of Finance, 2011

Georgy Chabakauri

Dynamic Hedging in incomplete Markets: A Simple Solution, S. Basak and G. Chabakauri, Review of Financial Studies, 2011

Dasgupta

Institutional trade persistence and long-term equity returns, A. Dasgupta, A.Prat, and M. Verardo, Journal of Finance, 2011

Yuan

Learning and strategic complementarities in speculative attacks, I. Goldstein, K. Yuan, and E. Ozdenoren, Review of Economic Studies, 2011

Paravisini

Public Information and Coordination: Evidence from a Credit Registry Expansion, D. Paravasini , A. Hertzberg and J.Liberti, Journal of Finance, 2011, Brattle Prize Distinguished Paper in Corporate Finance

Michela Verardo

The price impact of institutional herding, A. Dasgupta, A.Prat, and M. Verardo, Review of Financial Studies, 2011

Georgy Chabakauri

Dynamic mean-variance asset allocation, S. Basak and G. Chabakauri, Review of Financial Studies, 2010

Christopher Polk

Growth or Glamour? Fundamentals and systematic risks in stock returns, J. Campbell, C. Polk, and T. Vuolteenaho, Review of Financial Studies, 2010

Ferreira

Moderation in groups: Evidence from betting on ice break-ups in Alaska, R. Adams and D. Ferreira, Review of Economic Studies, 2010

Vayanos

The gambler's and hot-hand fallacies: Theory and applications, M. Rabin and D. Vayanos, Review of Economic Studies, 2010