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Discussion papers

Discussion papers are authored primarily by FMG staff, associates and research students and provide specialist insights into cutting edge financial markets research currently being carried out at the FMG. Research published in the discussion paper series typically goes on to final publication in the top economics and finance journals. Feedback from the FMG community plays an important role in shaping those final publications.

The most recent FMG discussion papers are listed below.

Macro-Modelling, Default and Money [PDF]
Charles Goodhart, Nikolas Romanidis, Dimitrios P Tsomocos and Martin Shubik (June 2016)
FMG Discussion Paper DP755

Informational Black Holes in Financial Markets [PDF]
Ulf Axelson and Igor Makarov (April 2016)
FMG Discussion Paper DP754

European Venture Capital: myths and facts [PDF]
Ulf Axelson and Milan Martinovic (April 2016)
FMG Discussion Paper DP753

The Dynamics of expected returns: evidence from multi-scale time series modelling [PDF]
Daniele Bianchi and Andrea Tamoni (March 2016)
FMG Discussion Paper DP752

Say on Pay: do shareholders care? [PDF]
Carsten Gerner-Beuerle and Tom Kirchmaier (March 2016)
FMG Discussion Paper DP751

What is the expected return on the market? [PDF]
Ian Martin (March 2016)
FMG Discussion Paper DP750

An Information Based One-Factor Asset Pricing Model [PDF]
Anisha Ghosh, Christian Julliard and Alex P Taylor (April 2016)
FMG Discussion Paper DP749

Information Asymmetries, Volatility, Liquidity and the Tobin Tax [PDF]
Albina Danilova and Christian Julliard (December 2015)
FMG Discussion Paper DP748

Curse of the Benchmarks [PDF]
Dimitri Vayanos and Paul Woolley (March 2016)
FMG Discussion Paper DP747

Endogenous Contractual Externalities [PDF]
Emre Ozdenoren and Kathy Yuan (November 2015)
FMG Discussion Paper DP746

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims [PDF]
Georgy Chabakauri, Kathy Yuan and Konstantinos E. Zachariadis (June 2015)
FMG Discussion Paper DP745

A Tug of War: Overnight Versus Intraday Expected Returns [PDF]
Dong Lou, Christopher Polk and Spyros Skouras (March 2015)
FMG Discussion Paper DP744

The Booms and Busts of Beta Arbitrage [PDF]
Dong Lou, Christopher Polk and Shiyang Huang (December 2014)
FMG Discussion Paper DP743

Wolf Pack Activism [PDF]
Alon Brav, Amil Dasgupta and Richmond Mathews (March 2015)
FMG Discussion Paper DP742