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Room OLD 3.41
Department of Finance
London School of Economics
Houghton Street
London WC2A 2AE

Tel:  +44 (0)20 7955 6382
Fax: +44 (0)20 7242 1394

Email: d.vayanos@lse.ac.uk|

 

Administrative Contact
Jennifer Carr, j.carr2@lse.ac.uk|

Professor 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

  • 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)

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

Lectures/classes

Other webpages

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VayanosCV|personal webpage|