Influential research by members of the Paul Woolley Centre has been published in some of the most recognised international journals in the field.
Below is a collection of notable papers published in the 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.
2019
- Suleyman Basak, Georgy Chabakauri and M Deniz Yavuz (2019). Investor Protection and Asset Prices. The Review of Financial Studies, 32(12), 4905-4946. doi: 10.1093/rfs/hhz038
- Dong Lou, Christopher Polk and Spyros Skouras (2019). A tug of war: Overnight versus intraday expected returns. Journal of Financial Economics, 134 (1), 192-213. doi: 10.1016/j.jfineco.2019.03.011
- Peter Kondor and Dimitri Vayanos (2019). Liquidity Risk and the Dynamics of Arbitrage Capital. Journal of Finance, 74 (3), 1139-1173. doi: 10.1111/jofi.12757
- Lukas Kremens and Ian Martin (2019). The Quanto Theory of Exchange Rates. American Economic Review, 109(3), 810-43. doi: 10.1257/aer.20180019
- Patrick Bolton and Martin Oehmke (2019). Bank Resolution and the Structure of Global Banks, The Review of Financial Studies, 32(6), 2384–2421. doi: 10.1093/rfs/hhy123
- Erik Eyster, Matthew Rabin and Dimitri Vayanos (2019), Financial Markets Where Traders Neglect the Informational Content of Prices. Journal of Finance, 74 (1), 371-399. doi:10.1111/jofi.12729
2018
2017
2016
- Huaizhi Chen, Lauren Cohen and Dong Lou (2016), Industry Window Dressing, Review of Financial Studies, 29 (12): 3354-3393. doi: 10.1093/rfs/hhw020
- Konstantinos E. Zachariadis, Ioan F. Olaru (2016) The Impact of Security Trading on Corporate Restructurings. Review of Finance, rfw019. doi: 10.1093/rof/rfw019
- Dragana Cvijanović, Amil Dasgupta and Konstantinos Zachariadis (2016) Ties that Bind: How Business Connections Affect Mutual Fund Activism, Journal of Finance, 71(6), 2933-2966. doi: 10.1111/jofi.12425
- Brunnermeier, Markus K., Luis Garicano, Philip R. Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh and Dimitri Vayanos (2016), The Sovereign-Bank Diabolic Loop and ESBies, American Economic Review, 106(5): 508-12
- Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter (2016), Mortgage Risk and the Yield Curve. Review of Financial Studies, 29 (5), 1220-1253
- Zhiguo He and Peter Kondor (2016), Inefficient Investment Waves, Econometrica, 84 (2), 735-780
2015
- Chabakauri, G., (2015), Asset Pricing with Heterogeneous Preferences, Beliefs, and Portfolio Constraints, Journal of Monetary Economics 75, 21-34
- Konstantin Milbradt and Martin Oehmke (2015), Maturity rationing and collective short-termism. Journal of Financial Economics, 118 (3): 553-570
- Dasgupta, A. and Piacentino, G. (2015), The Wall Street Walk when Blockholders Compete for Flows. The Journal Of Finance, 70 (6): 2853–2896. doi:10.1111/jofi.12308
- Bolton, P. and Oehmke, M. (2015), Should Derivatives Be Privileged in Bankruptcy?. The Journal Of Finance, 70 (6): 2353–2394. doi:10.1111/jofi.12201
- Oehmke, Martin and Adam Zawadowski (2015), Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets. Review of Financial Studies, 28 (12): 3303-3337. doi:10.1093/rfs/hhv047
- Bruno Biais, Jean-Charles Rochet, and Paul Woolley (2015), Dynamics of Innovation and Risk. Review of Financial Studies, 28 (5): 1353-1380. doi: 10.1093/rfs/hhv003
- Makarov, I. and Plantin, G. (2015), Rewarding Trading Skills without Inducing Gambling. The Journal of Finance, 70 (3): 925–962. doi:10.1111/jofi.12257
2014
2013
- Chabakauri, Georgy (2013) Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints. Review of Financial Studies, 26 (12). pp. 3104-3141. ISSN 0893-9454
- Market Liquidity: Theory and Empirical Evidence, in George Constantinides, Milton Harris, and Rene Stulz, eds.: Handbook of the Economics of Finance, 2013, Chapter 19
- Chernov, Mikhail, Gorbenko, Alexander S. and Makarov, Igor (2013) CDS auctions. Review of Financial Studies, 26 (3). pp. 768-805. ISSN 0893-9454
- Goldstein, Itay, Ozdenoren, Emre and Yuan, Kathy (2013) Trading frenzies and their impact on real investment. Journal of Financial Economics, 109 (2). pp. 566-582. ISSN 0304-405X
- Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri (2013) Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of Financial Studies, 26 (8). pp. 1914-1961. ISSN 0893-9454
- Lou, Dong, Yan, Hongjun and Zhang, Jinfan (2013) Anticipated and repeated shocks in liquid markets. Review of Financial Studies, 26 (8). pp. 1891-1912. ISSN 0893-9454. Winner of NASDAQ OMX Award for Best Paper on Asset Pricing, Western Finance Association, 2011
- Vayanos, Dimitri and Woolley, Paul (2013) An institutional theory of momentum and reversal. Review of Financial Studies, 26 (5). pp. 1087-1145. ISSN 0893-9454
2012
- Basak, Suleyman and Chabakauri, Georgy (2012) Dynamic hedging in incomplete markets: a simple solution. Review of Financial Studies, 25 (6). pp. 1845-1896. ISSN 0893-9454
- Cohen, Lauren and Lou, Dong (2012) Complicated firms. Journal of Financial Economics, 104 (2). pp. 383-400. ISSN 0304-405X
- Winner of First Prize, Crowell Memorial Award for Best Paper in Quantitative Investments, 2011
- Winner of Best Paper Prize, the Center for Research in Security Prices (CRSP) Forum, 2010
- Winner of Institute for Quantitative Investment Research (INQUIRE UK) Grant, 2010
- Winner of First Prize, Istanbul Stock Exchange 25th Anniversary Best Paper Competition, 2010
- Winner of Paul Woolley Center (UTS) Academic Grant, 2010
- Lou, Dong (2012) A flow-based explanation for return predictability. Review of Financial Studies, 25 (12). pp. 3457-3489. ISSN 0893-9454
- Vayanos, Dimitri and Wang, Jiang (2012) Liquidity and asset returns under asymmetric information and imperfect competition. Review of Financial Studies, 25 (5). pp. 1339-1365. ISSN 0893-9454
2011