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Research Highlights

Below is a collection of some notable forthcoming and recently published papers by our Faculty in the most recognised international journals in the field.

Publications include: American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Review of Economic Studies, Review of Financial Studies, and Quarterly Journal of Economics.

Forthcoming

OehmkeZhong

A Theory of Multi-Period Debt Structure, Chong Huang, Martin Oehmke and Hongda Zhong,  Review of Financial Studies (forthcoming)

Vicente Cunat

Price and Probability: Decomposing the Takeover Effects of Anti-Takeover ProvisionsVicente Cunat, Maria Guadalupe and Mireia Gine, Journal of Finance (forthcoming)

2020

 

Thummim Cho

Turning Alphas into Betas: Arbitrage and Endogenous Risk, Thummim Cho, Journal of Financial Economics, 137:2, 550-570

Makarov

Trading and arbitrage in cryptocurrency marketsIgor Makarov, Antoinette Schoar, Journal of Financial Economics, 135:2, 293-319

Georgy Chabakauri

Collateral Constraints and Asset Prices, Georgy Chabakauri and Brandon Yueyang Han, Journal of Financial Economics,

 

2019


Georgy Chabakauri

Investor Protection and Asset Prices, Suleyman Basak, Georgy Chabakauri, M. Deniz Yavuz, Review of Financial Studies, 32:12, 4905–4946

Kondor

Learning in Crowded Markets, Peter Kondor, Adam Zawadowski, Journal of Economic Theory, 184.

Martin

Notes on the Yield Curve, Ian Martin and Steve Ross, Journal of Financial Economics, 134:3, 689-702

Martin

What is the Expected Return on a Stock? Ian Martin and Christian Wagner, Journal of Finance, 74:4, 1887-1929

Vicente Cunat

Firing the Wrong Workers: Financing Constraints and Labor Misallocation, Andrea Caggese, Vicente Cuñat and Daniel Metzger. Journal of Financial Economics, 133:3, 589-607

Oehmke

Bank Resolution and the Structure of Global BanksMartin Oehmke and Patrick Bolton, Review of Financial Studies, 32:6, 2384–2421

LouChristopher Polk

A Tug of War: Overnight vs.Intraday Expected ReturnsDong LouChristopher Polk and Spyros Skouros, Journal of Financial Economics, 134, 192-213. 

Vayanos2

Financial Markets where Traders Neglect the Informational Content of Prices, Erik Eyster, Matthew Rabin and Dimitri Vayanos, Journal of Finance, 74:1, 371-399.

Martin

The Quanto Theory of Exchange Rates, Ian Martin and Lukas Kremens, American Economic Review, 109:3, 810-843.

 

2018

Xu

Strategic News Releases in Equity Vesting Months, Alex Edmans, Luis Goncalves-Pinto, Moqi Groen-Xu, Yanbo Wang, Review of Financial Studies, 31:11, 4099–4141.

Ferreira2

Creditor Control Rights and Board Independence, Daniel Ferreira, Miguel Ferreira, Beatriz Mariano, Journal of Finance, 75:5, 2385-2423.

Vayanos2

The Dynamics of Financially Constrained Arbitrage, Denis Gromb and Dimitri Vayanos, Journal of Finance, 73:4, 1713-1750.

Paravisini

Screening on Loan Terms: Evidence from Maturity Choice in Consumer Credit, A. Hertzberg , A. Liberman and Daniel Paravisini, Review of Financial Studies, 31:9, 3532 - 3567.

GonzalezUribe

The effects of business accelerators on venture performance: evidence from start-up Chile, Juanita Gonzalez-Uribe and Michael Leatherbee, Review of Financial Studies, 31:4, 1586-1603.

Michela Verardo

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance, Hao Jiang and Michela Verardo, Journal of Finance, 73 (5), 2229-2269

Christopher Polk

An Intertemporal CAPM with Stochastic VolatilityJohn Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley, Journal of Financial Economics, 2018, 128, 207-233. ISSN 0304-405X

Danielsson

Learning from History: Volatility and Financial Crises, Jon Danielsson, Marcela Valenzuela, and Ilknur Zer, Review of Financial Studies, 31 (7),  2018, 2774–2805

Anderson

Agency, Firm Growth, and Managerial Turnover, Ronald W. Anderson, M. Cecilia Bustamante, Stéphane Guibaud, Mihail Zervos, Journal of Finance, 73 (1), 419-464

Kondor

Trading and Information Diffusion in Over-the-Counter Markets, Ana Babus, Peter Kondor, Econometrica, 86 (5), 1727-1769

 

2017

Vicente Cunat

Firing the Wrong Workers: Financing Constraints and Labor Misallocation,  Andrea Caggese, Vicente Cuñat and Daniel Metzger, Journal of Financial Economics, 2017, ISSN 0304-405X

Oehmke

The Anatomy of the CDS Market,  Martin Oehmke and Adam Zawadowski, Review of Financial Studies, 2017, 30 (1), 80-119, ISSN 0893-9454

Paravisini

Cultural Proximity and Loan Outcomes, Raymond Fisman, Daniel Paravisini and Vikrant Vig American Economic Review, 2017, 107 (2), 457-492. ISSN 0002-8282

Martin

What is the Expected Return on the Market?Ian MartinQuarterly Journal of Economics, 2017; 132 (1), 367-433. doi: 10.1093/qje/qjw034

Kathy Yuan

Contractual Externalities and Systemic Risk, Emre Ozdenoren,  and Kathy YuanReview of Economic Studies, 2017, 84 (4), 789-1817, ISSN 0034-6527

2016

Zhong

Buying High and Selling Low: Stock Repurchases and Persistent Asymmetric Information, Philip Bond and Hongda Zhong, Review of Financial Studies, 2016, 29 (6), 1409-1452

Julliard2

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, 2016, 30 (2), 442-504

Lou

Industry Window Dressing, Huaizhi Chen, Lauren Cohen, Dong Lou, Review of Financial Studies, 2016, 29 (12), 3354-3393

 

Dasgupta

Ties that Bind: How business ties affect mutual fund activism, Dragana Cvijanovic, Amil Dasgupta and Konstantinos Zachariadis, Journal of Finance, 2016, 71, 2933–2966

Vedolin

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

Agrawal

Private Equity and Workers’ Career Paths: The Role of Technological Change", Ashwini Agrawal and Prasanna Tambe, Review of Financial Studies, 2016, 29 (9), 2455-2489

 

Kondor

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

2015

Burkart

Signalling to Dispersed Shareholders and Corporate Control, Mike Burkart and Samuel Lee, Review of Economic Studies, 2015, 82 (3), 922-962. ISSN 0034-6527

Oehmke

Maturity Rationing and Collective Short-Termism, Konstantin Milbradt, Martin Oehmke, Journal of Financial Economics, 2015, 118 (3), 553-570

Oehmke

Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets, Martin Oehmke and Adam Zawadowski, Review of Financial Studies, 2015, 28 (12), 3303-3337

Dasgupta

The Wall Street Walk When Blockholders Compete for Flows, Amil Dasgupta and Giorgia Piacentino, Journal of Finance, 2015, 70 (6), 2853–2896

Jenter

CEO Preferences and Acquisitions, Dirk Jenter and Katharina Lewellen, Journal of Finance, 2015, 70 (6), 2813–2852

Oehmke

Should Derivatives Be Privileged in Bankruptcy?, Patrick Bolton and Martin Oehmke, Journal of Finance, 2015, 70 (6), 2353–2394

Martin

Averting Catastrophes: The Strange Economics of Scylla and Charybdis, Ian Martin and Robert Pindyck, American Economic Review, 2015, 105 (10), 2947-85

Jenter

CEO Turnover and Relative Performance Evaluation, Dirk Jenter and Fadi Kanaan, Journal of Finance, 2015, 70 (5), 2155–2184

Ulf Axelson

Wall Street Occupations, Ulf Axelson and Philip Bond, Journal of Finance, 2015, 70 (5), 1949-1996

Makarov

Rewarding Trading Skills Without Inducing Gambling, Igor Makarov and Guillaume Plantin, Journal of Finance, 2015, 70 (3), 925–962

Bustamante

Strategic Investment and Industry Risk Dynamics, Maria Cecilia Bustamante, Review of Financial Studies, 2015, 28 (2), 297- 341 

Paravisini

Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data, Daniel Paravisini Veronica Rappoport Philipp Schnabl Daniel Wolfenzon, Review of Economic Studies, 2015, 82 (1), 333-359

2014

Christopher Polk

Connected Stocks, Miguel Anton and Christopher Polk, Journal of Finance, 69, 1099–1127 (Internet appendix to 'Connected Stocks')

Lou

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

Vayanos

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

Burkart

Legal Investor Protection and Takeovers, Mike Burkart, Denis Gromb, Holger M. Mueller, and Fausto Panunzi, Journal of Finance, 69 (3), 1129-1164

Vedolin

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia, Andrea Buraschi, Fabio Trojani and Andrea Vedolin, Journal of Finance, 69 (1), 101-137

Ferreira

Incentives to Innovate and the Decision to Go Public or Private,D. Ferreira, G. Manso and A. Silva, Review of Financial Studies, 27 (1), 256-300

2013

Georgy Chabakauri

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

Tamoni

Long Run Risk and the Persistence of Consumption Shocks, F. Ortu, A. Tamoni and C. Tebaldi, Review of Financial Studies, 26 (11), 2876-2915

Ulf Axelson

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), 2223–2267

Vayanos

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, S. Guibaud, Y. Nosbusch and D. VayanosReview of Financial Studies, 26 (8), 1914-1961

Lou

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

Makarov

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

Yuan

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

Martin

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

Vayanos

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

Favilukis

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

Martin

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

2012 and earlier

Lou

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

Mueller

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

Julliard

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

Cunat

The vote is cast: The effect of corporate governance on shareholder value, V. Cunat, M. Guadalupe, and M. Gine, Journal of Finance, 67 (5), 1943-1977

Michela Verardo

Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability, Michela Verardo and Andrew Patton, Review of Financial Studies, 25 (9), 2789-2839

Lou

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

Anderson

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

Cunat

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

Vayanos

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

Martin

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

Ferreira

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

Martin

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

Georgy Chabakauri

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

Dasgupta

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

Yuan

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

Paravisini

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

Michela Verardo

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

Georgy Chabakauri

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

Christopher Polk

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

Ferreira

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

Vayanos

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

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