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 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).

• 2016 and forthcoming
• 2015
• 2014
• 2013
• 2012 -

"Industry Window Dressing", Huaizhi Chen, Lauren Cohen and Dong Lou, Review of Financial Studies, forthcoming

 

"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, forthcoming

 

"Mortgage Risk and the Yield Curve", Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter, Review of Financial Studies, 29 (5), 1220-1253, May 2016

 

"Inefficient Investment Waves", Zhiguo He and Peter Kondor, Econometrica, 84 (2), 735-780, March 2016

 

 

"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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

“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

 

 

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

 

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

 

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

 

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

 

"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

 

“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

 

 

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

 

"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

 

“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

 

"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

 

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

 

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

 

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

 

 

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

 

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

 

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

 

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

 

 

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

 

 

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

 

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

 

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

 

“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.

 

“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.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

“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.

 

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

 

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

 

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

 

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

 

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