Vayanos, Dimitri


Professor Dimitri Vayanos  

Department

Position held

Department of Finance

Professor of Finance

Experience keywords:

liquidity and frictions; market dysfunctionality; limits of arbitrage; financial markets

Research summary > [Click to expand]

Dimitri Vayanos is Professor of Finance at the London School of Economics. He received his undergraduate degree from Ecole Polytechique in Paris and his PhD from MIT in 1993. Prior to joining the LSE, he was faculty member at Stanford and MIT.

Vayanos has published in a number of leading finance and economics journals on topics such as: liquidity and asset pricing, delegated portfolio management, information in markets and organizations, market microstructure, and behavioral economics. He is the Director of LSE’s Paul Woolley Centre for the Study of Capital Market Dysfunctionality, the Director of the CEPR Financial Economics program, a Research Associate at NBER, and current or past Associate Editor in a number of journals including the Review of Financial Studies and the Review of Economic Studies.

Languages:

Greek [Spoken: Fluent, Written: Fluent]; French [Spoken: Fluent, Written: Fluent]

Media experience:

Has written for mainstream pressRadio

Contact Points

LSE phone number:

+44 (0)207 955 6382

Publications

LSE Research Online, Funnelback Search

2014

Greenwood, Robin and Vayanos, Dimitri (2014) Bond supply and excess bond returns Review of Financial Studies, 27 (3). 663-713. ISSN 0893-9454

Kondor, Peter and Vayanos, Dimitri (2014) Liquidity risk and the dynamics of arbitrage capital FMG discussion papers, DP730. The London School of Economics and Political Science, London, UK.

2013

Allen, Franklin and Vayanos, Dimitri and Vives, Xavier (2013) Introduction to financial economics Journal of Economic Theory. ISSN 1095-7235

Vayanos, Dimitri and Woolley, Paul (2013) An institutional theory of momentum and reversal Review of Financial Studies, 26 (5). 1087-1145. ISSN 0893-9454

Guibaud, Stéphane and 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). 1914-1961. ISSN 0893-9454

Vayanos, Dimitri and Wang, Jiang (2013) Market liquidity: theory and empirical evidence In: Constantinides, George M. and Harris, Milton and Stulz, Rene M., (eds.) Handbook of the Economics of Finance: Volume 2b: Financial Markets and Asset Pricing. Handbooks in economics. North Holland, Oxford, UK. ISBN 9780444594068

2012

Vayanos, Dimitri (2012) Theories of liquidity Foundations and Trends in Finance, 6 (4). 221-317. ISSN 1567-2395

Vayanos, Dimitri and Wang, Jiang (2012) Liquidity and asset returns under asymmetric information and imperfect competition Review of Financial Studies, 25 (5). 1339-1365. ISSN 0893-9454

2010

Greenwood, Robin and Vayanos, Dimitri (2010) Price pressure in the government bond market American Economic Review, 100 (2). 585-590. ISSN 0002-8282

Gromb, Denis and Vayanos, Dimitri (2010) A model of financial market liquidity based on intermediary capital Journal of the European Economic Association, 8 (2-3). 456-466. ISSN 1542-4774

Vayanos, Dimitri and Woolley, Paul (2010) Fund flows and asset prices: a baseline model Department of Finance, London School of Economics and Political Science, London, UK.

Guibaud, Stéphane and Nosbusch, Yves and Vayanos, Dimitri (2010) Bond market clienteles, the yield curve and the optimal maturity structure of government debt. Department of Finance, London School of Economics and Political Science, London, UK.

Rabin, Matthew and Vayanos, Dimitri (2010) The gambler's and hot-hand fallacies: theory and applications Review of Economic Studies, 77 (2). 730-778. ISSN 0034-6527

Gromb, Denis and Vayanos, Dimitri (2010) Limits of arbitrage Annual Review of Financial Economics, 2. 251-275. ISSN 1941-1367

2009

Gromb, Denis and Vayanos, Dimitri (2009) Financially constrained arbitrage and cross-market contagion Department of Finance, London School of Economics and Political Science, London, UK.

Vayanos, Dimitri and Wang, Jiang (2009) Liquidity and asset prices: a united framework Discussion paper, 639. Financial Markets Group, London School of Economics and Political Science, London, UK.

Vayanos, Dimitri and Vila, Jean-Luc (2009) A preferred-habitat model of the term structure of interest rates Discussion paper, 641. Financial Markets Group, London School of Economics and Political Science, London, UK.

2008

Chau, Minh and Vayanos, Dimitri (2008) Strong-form efficiency with monopolistic insiders Review of Financial Studies, 21 (5). 2275-2306. ISSN 0893-9454

Vayanos, Dimitri and Weill, Pierre-Olivier (2008) A search-based theory of the on-the-run phenomenon Journal of Finance, 63 (3). 1361-1398. ISSN 0022-1082

Greenwood, Robin and Vayanos, Dimitri (2008) Bond supply and excess bond returns Discussion paper, 607. Financial Markets Group, London School of Economics and Political Science, London, UK.

Vayanos, Dimitri and Woolley, Paul (2008) An institutional theory of momentum and reversal Discussion paper, 621. Financial Markets Group, London School of Economics and Political Science, London, UK.

2007

Vayanos, Dimitri and Wang, Tan (2007) Search and endogenous concentration of liquidity in asset markets Journal of Economic Theory, 136 (1). 66-104. ISSN 1095-7235

Vayanos, Dimitri and Weill, Pierre-Olivier (2007) A search-based theory of the on-the-run phenomenon Discussion paper, 577. Financial Markets Group, London School of Economics and Political Science, London, UK.

Rabin, Matthew and Vayanos, Dimitri (2007) The gambler's and hot-hand fallacies: theory and applications Discussion paper, 578. Financial Markets Group, London School of Economics and Political Science, London, UK.

2005

Chau, Minh and Vayanos, Dimitri (2005) Strong-form efficiency with monopolistic insiders CEPR, London School of Economics and Political Science, London, UK.

Vayanos, Dimitri and Weill, Pierre-Olivier (2005) A search-based theory of the on-the-run phenomenon AFA 2006 Boston Meetings Paper. American Finance Association.

2004

Vayanos, Dimitri and Wang, Tan (2004) Search and endogenous concentration of liquidity in asset markets 647. Econometric Society 2004 North American Winter Meetings, London, UK.

Vayanos, Dimitri (2004) Flight to quality, flight to liquidity, and the pricing of risk NBER Working Papers No. 10327. National Bureau of Economic Research, Inc, London, UK.

2003

Vayanos, Dimitri (2003) The decentralization of information processing in the presence of interactions Review of Economic Studies, 70 (3). 667-695. ISSN 1467-937X

DeMarzo, Peter M. and Vayanos, Dimitri and Zwiebel, Jeffrey (2003) Persuasion bias, social influence, and uni-dimensional opinions Quarterly Journal of Economics, 118 (3). 909-968. ISSN 1531-4650

2002

Gromb, Denis and Vayanos, Dimitri (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs Journal of Financial Economics, 66 (2-3). 361-407. ISSN 0304-405X

2001

Vayanos, Dimitri (2001) Strategic trading in a dynamic noisy market Journal of Finance, 56 (1). 131-171. ISSN 1540-6261

1999

Vayanos, Dimitri and Vila, Jean-Luc (1999) Equilibrium interest rate and liquidity premium with transaction costs Economic Theory, 13 (3). 509-539. ISSN 1432-0479

Vayanos, Dimitri (1999) Strategic trading and welfare in a dynamic market Review of Economic Studies, 66 (2). 219-254. ISSN 1467-937X

1998

Vayanos, Dimitri (1998) Transaction costs and asset prices : a dynamic equilibrium model Review of Financial Studies, 11 (1). 1-58. ISSN 1465-7368


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