Home > Finance > Research > Research Highlights

 

Research Highlights

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 Mike Chernov, 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).

Dr Daniel 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, forthcoming
 
Maria Bustamante

"Strategic investment and Industry Risk Dynamics|", Maria Cecilia Bustamante|, Review of Financial Studies, forthcoming
 
Dasgupta

"The Wall Street Walk When Blockholders Compete for Flows", Amil Dasgupta| and Giorgia Piacentino, Journal of Finance, forthcoming
 
Axelson

"Wall Street Occupations", Ulf Axelson| and Philip Bond, Journal of Finance, forthcoming
 
Igor Makarov

"Rewarding Trading Skills Without Inducing Gambling", Makarov, I.|, and Plantin, G., Journal of Finance, forthcoming
 

  

Shen

"Collateral-Motivated Financial Innovation", Ji Shen|, Hongjun Yan, and Jinfan Zhang, Review of Financial Studies, 27 (10): 2961-2997
 
Professor Christopher Polk

"Connected Stocks|", Miguel Anton and Christopher Polk|Journal of Finance, 69 pp. 1099–1127.
Internet appendix to 'Connected Stocks'|
 
Dong 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
 
Professor Mikhail Chernov

"Sources of Entropy in Representative Agent Models|", D. Backus, M. Chernov and S. Zin, Journal of Finance, 69 (1) pp. 51-99
 
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
 
Daniel 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
 

 

 

Andrea 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
 
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
 
GuibaudNosbuschVayanos

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

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

 

 
Ian 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.
 
Professor Mikhail Chernov

"CDS Auctions|", M. Chernov,  A. Gorbenko and I. Makarov, Review of Financial Studies, 26 (3) pp. 768-805.
 
Favilukis

Inequality, stock market participation, and the equity premium|”, J. Favilukis|, Journal of Financial Economics, 107 (3) pp. 740-759.
 
Ian Martin
 
"The Lucas Orchard|", I. Martin|, Econometrica, 81 (1) pp. 55-111.
 

  

Dong Lou

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

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

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

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

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

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

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

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

 

 

Daniel Ferreira

Board structure and price informativeness|”, D. Ferreira|, M. Ferreira, and C. Raposo, Journal of Financial Economics, 2011.
 
Professor Mikhail Chernov

Disasters implied by equity index options|”, D. Backus, M. Chernov, and I. Martin, Journal of Finance, 2011.
 
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.
 
Dr Daniel 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.
 
Verardo

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

 

 

Chabakauri

Dynamic mean-variance asset allocation|”, S. Basak and G. Chabakauri|, Review of Financial Studies, 2010.
 
Professor Christopher Polk

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

 

 

Share:Facebook|Twitter|LinkedIn|