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Financial Markets Group

Research programmes

The Paul Woolley Centre for the Study of Capital Market Dysfunctionality

Publications

Academic journals

How to contact us

The Paul Woolley Centre for the Study of Capital Market Dysfunctionality
Financial Markets Group
London School of Economics
Houghton Street
London WC2A 2AE, UK

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Director
Dimitri Vayanos

Enquiries
Tel: +44 (0)207 852 3502
Email: cmdcentre.fmg@lse.ac.uk

Academic journals

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.

2016
2015
2014
2013
2012
2011

Dragana Cvijanović, Amil Dasgupta and Konstantinos Zachariadis (2016) Ties that Bind: How Business Connections Affect Mutual Fund Activism, Journal of Finance, doi: 10.1111/jofi.12425
[see also Ties that bind: How business connections affect mutual fund activism working paper (2014), Paul Woolley Centre Paper Series No 39]

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
[see also Mortgage Hedging in Fixed Income Markets working paper (2013), Paul Woolley Centre Paper Series No 37]

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

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
[see also The Wall Street walk when Blcokholders Compete for Flows working paper (2011), Paul Woolley Centre Working Paper Series 28]

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
[see also Innovations, rents and risk working paper (2010), Paul Woolley Centre Working Paper Series 13]

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

Greenwood, Robin and Vayanos, Dimitri (2014) Bond supply and excess bond returns. Review of Financial Studies, 27 (3). pp. 663-713. ISSN 0893-9454
[see also Bond Supply and Excess Bond Returns working paper (2008), Paul Woolley Centre Working Paper Series No 1]

Lou, Dong (2014) Attracting investor attention through advertising. Review of Financial Studies, 27 (6). pp. 1797-1829. ISSN 0893-9454
[see also Attracting Investor Attention through Advertising working paper (2009), Paul Woolley Centre Working Paper Series No 8]

Polk, Christopher and Anton, Miguel (2014) Connected stocks. The Journal of Finance, 69 (3). pp. 1099-1127. ISSN 0022-1082
[see also Connected Stocks working paper (2010), Paul Woolley Centre Working Paper Series No 10]

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

Chernov, Mikhail, Gorbenko, Alexander S. and Makarov, Igor (2013) CDS auctions. Review of Financial Studies, 26 (3). pp. 768-805. ISSN 0893-9454
[see also CDS auctions working paper (2011), Paul Woolley Centre Working Paper Series No 26]

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
[see also Trading Frenzies and their impact on real investment working paper (2011), Paul Woolley Centre Working Paper Series No 20]

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
[see also Bond market clienteles, the yield curve, and the optimal maturity structure of government debt working paper (2011), Paul Woolley Centre Working Paper Series No 19]

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
[see also Anticipated and repeated shocks in liquid markets working paper (2011), Paul Woolley Centre Working Paper Series No 25]
- 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
[see also An institutional theory of momentum and reversal working paper (2011), Paul Woolley Centre Working Paper Series No 17]

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
[see also Dynamic hedging in incomplete markets: a simple solution working paper (2011), Paul Woolley Centre Working Paper Series No 23]

Cohen, Lauren and Lou, Dong (2012) Complicated firms. Journal of Financial Economics, 104 (2). pp. 383-400. ISSN 0304-405X
[see also Complicated firms working paper (2011), Paul Woolley Centre Working Paper Series No 24]
- 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
[see also A flow-based explanation for return predictability working paper (2009), Paul Woolley Centre Working Paper Series No 7]

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
[see also Liquidity and asset returns under asymmetric information and imperfect competition working paper (2012), Paul Woolley Centre Working Paper Series No 31]

Amil Dasgupta, Andrea Prat and Michela Verardo (2011) The Price Impact of Institutional Herding, Review of Financial Studies, 24 (3), 892-925
[see also The Price Impact of Institutional Herding working paper (2010), Paul Woolley Centre Working Paper Series No 11]

Dasgupta, Amil, Prat, Andrea and Verardo, Michela (2011) Institutional trade persistence and long-term equity returns. The Journal of Finance, 66 (2). pp. 635-653. ISSN 0022-1082
[see also Institutional trade persistence and long-term equity returns working paper (2010), Paul Woolley Centre Working Paper Series No 14]

Working papers

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