Dimitri Vayanos

Professor of Finance;
Head of Department;
Director, Paul Woolley Centre for the Study of Capital Market Dysfunctionality

Research interests

• Liquidity and asset pricing
• Information in asset markets
• Delegated portfolio management
• Behavioural finance

Selected papers

Publications

• Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt, Review of Financial Studies, 2013, 26 (8) pp.1914-1961. (With Stephane Guibaud and Yves Nosbusch)

• An Institutional Theory of Momentum and Reversal, Review of Financial Studies, 2013, 26 (5), 1087-1145. (With Paul Woolley).

• Market Liquidity: Theory and Empirical Evidence, Handbook of the Economics of Finance, forthcoming. (With Jiang Wang)

• Theories of Liquidity, Foundations and Trends in Finance, 2012, 6, 221-317. (With Jiang Wang)

• Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition, Review of Financial Studies, 2012, 25, 1339-1365. (With Jiang Wang)
  Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework.

• Limits of Arbitrage: The State of the Theory, Annual Review of Financial Economics, 2010, 2, 251-275. (With Denis Gromb)

• Price Pressure in the Government Bond Market, American Economic Review, P&P, 2010, 585-590. (With Robin Greenwood)

• A Model of Financial Market Liquidity Based on Intermediary Capital, Journal of the European Economic Association, P&P, 2010, 456-466. (With Denis Gromb)

• The Gambler's and Hot-Hand Fallacies: Theory and Applications, Review of Economic Studies, 2010, 77, 730-778. (With Matthew Rabin)

• Strong-Form Efficiency with Monopolistic Insiders, Review of Financial Studies, 2008, 21, 2275-2306. (With Minh Chau)

• A Search-Based Theory of the On-the-Run Phenomenon, Journal of Finance, 2008, 63, 1361-1398. (With Pierre-Olivier Weill) Appendix 

• Search and Endogenous Concentration of Liquidity in Asset Markets, Journal of Economic Theory, 2007, 136, 66-104. (With Tan Wang)

• Persuasion Bias, Social Influence, and Uni-Dimensional Opinions, Quarterly Journal of Economics, 2003, 118, 909-968. (With Peter DeMarzo and Jeff Zwiebel)

• The Decentralization of Information Processing in the Presence of Interactions, Review of Economic Studies, 2003, 70, 667-695. Appendix

• Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs, Journal of Financial Economics, 2002, 66, 361-407. (With Denis Gromb)

• Strategic Trading in a Dynamic Noisy Market, Journal of Finance, 2001, 56, 131-171. Appendix

• Equilibrium Interest Rate and Liquidity Premium With Transaction Costs, Economic Theory, 1999, 13, 509-539. (With Jean-Luc Vila)

• Strategic Trading and Welfare in a Dynamic Market, Review of Economic Studies, 1999, 66, 219-254.

• Transaction Costs and Asset Prices: A Dynamic Equilibrium Model, Review of Financial Studies, 1998, 11, 1-58.

Working Papers

• A Theoretical Analysis of Momentum and Value Strategies. (With Paul Woolley)

• An Institutional Theory of Momentum and Reversal. (With Paul Woolley)

• Fund Flows and Asset Prices: A Baseline Model. (With Paul Woolley)

• Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt. (With Stephane Guibaud and Yves Nosbusch)

• Bond Supply and Excess Bond Returns. (With Robin Greenwood)

• A Preferred-Habitat Model of the Term Structure of Interest Rates. (With Jean-Luc Vila)

• The Dynamics of Financially Constrained Arbitrage. (With Denis Gromb)

• Financially Constrained Arbitrage and Cross-Market Contagion. (With Denis Gromb)

• Flight to Quality, Flight to Liquidity, and the Pricing of Risk.

• Financial Markets and Social Networks. (With Peter DeMarzo and Jeff Zwiebel)

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM423 Asset Markets
  Current students click here for course information

• FM503 Asset Pricing for Research Students
  Current students click here for course information

Other webpages

• Financial Markets Group The Paul Woolley Centre for the Study of Capital Market Dysfunctionality