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Research Highlights

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

Featured publications: 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.

2024-5 and forthcoming

Ferreira2

Subtle Discrimination, Elena S. Pikulina and Daniel Ferreira, Journal of Finance, forthcoming

 

ConstantinCharles

Memory Moves Markets, Constantin Charles, Review of Financial Studies, forthcoming

 

Peng2

Reaching for Yield: Evidence from Households, Francisco Gomes, Cameron Peng, Oksana Smirnova, Ning Zhu, Journal of Financial Economics, forthcoming

 

Julliard2

Consumption in Asset Returns, Svetlana Bryzgalova, Jiantao Huang, Christian Julliard, Journal of Finance, forthcoming

 

Martin

Sustainability in a Risky World, John Y. Campbell, Ian W. R. Martin, American Economic Review: Insights, forthcoming

Lou

The Drivers and Implications of Retail Margin Trading, Jiangze Bian, Zhi Da, Zhiguo He, Dong Lou, Kelly Shue, and Hao Zhou, Journal of Finance, forthcoming

 

Christopher Polk

Putting the Price in Asset Pricing, Thummim Cho and Christopher Polk, Journal of Finance, forthcoming

Peng2

The Gender Gap in Household Bargaining Power: A Revealed-Preference Approach, Ran Gu, Cameron Peng and Weilong Zhang, Review of Financial Studies, forthcoming

ConstantinCharles

Insensitive Investors, Constantin Charles, Cary Frydman, Mete Kilic, Journal of Finance, 79:4, 2473-2503

Christopher Polk

Scale or Yield? A Present-Value Identity, Thummim Cho, Lukas Kremens, Dongryeol Lee and Christopher Polk, Review of Financial Studies, 37:3, 950–988

Peng2

Personality differences and investment decision-making, Zhengyang Jiang, Cameron Peng, Hongjun Yan, Journal of Financial Economics, 153, 2024, 103776

Ferreira2

Prestige, Promotion and Pay, Daniel Ferreira and Radoslawa Nikolowa, Journal of Finance, 79:1, 505-540


 

2023

Jenter

CEO compensation: Evidence from the field, Alex Edmans, Tom Gosling, Dirk Jenter, Journal of Financial Economics, 150:3, 103718

Makarov

Informational Black Holes in Financial Markets, Ulf Axelson and Igor Makarov, Journal of Finance, 78:6, 3099-3140

Danielsson

The Impact of Risk Cycles on Business Cycles: A Historical View, Jon Danielsson, Marcela Valenzuela, Ilknur Zer, Review of Financial Studies, 36:7, 2922-2961

Burkart

Why Do Boards Exist? Governance Design in the Absence of Corporate Law, Mike Burkart, Salvatore Miglietta, Charlotte Ostergaard, Review of Financial Studies, 36:5, 1788–1836

Ferreira2

Corporate Capture of Blockchain Governance, Daniel Ferreira, Jin Li, Radoslawa Nikolowa, Review of Financial Studies, 36:4, 1364–1407

Julliard2

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models, Svetlana Bryzgalova, Jiantao Huang and Christian Julliard, Journal of Finance, 78:1, 487-557


 

2022

Huan Tang

Measuring the welfare cost of asymmetric information in consumer credit markets, Anthony A. DeFusco, Huan Tang, Constantine Yannelis, Journal of Financial Economics, 146:3, 821-840

Vayanos2

Asset Management Contracts and Equilibrium Prices, Andrea M. Buffa, Dimitri Vayanos, Paul Woolley, Journal of Political Economy, 130:12, 3146–3201

Kathy Yuan

Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims, Georgy Chabakauri, Kathy Yuan, Konstantinos E Zachariadis, Review of Economic Studies, 89:5, 2445–2490

Martin

Sentiment and Speculation in a Market with Heterogeneous Beliefs, Ian W. R. Martin, Dimitris Papadimitriou, American Economic Review, 112:8, 2465-2517

Lou-Polk

Comomentum: Inferring Arbitrage Activity from Return Correlations, Dong Lou and Christopher Polk, Review of Financial Studies, 35:7, 3272–3302

 

Kondor

Heterogeneous Global Booms and Busts, Maryam Farboodi, Péter Kondor, American Economic Review, 112:7, 2178-2212

Lou-Polk

Ripples into waves: Trade networks, economic activity, and asset prices, Jeffery (Jinfan) Chang, Huancheng Du, Dong Lou, Christopher Polk, Journal of Financial Economics, 145:1, 217-238

Dasgupta2

The Wall Street Stampede: Exit as Governance with Interacting Blockholders, Dragana Cvijanovic, Amil Dasgupta, Konstantinos E. Zachariadis, Journal of Financial Economics, 144:2, 433-455

Peng2

Extrapolative Bubbles and Trading Volume, Jingchi Liao, Cameron Peng and Ning Zhu, Review of Financial Studies, 35:4, 1682-1722

Burkart

Activism and Takeovers, Mike Burkart, Samuel Lee, Review of Financial Studies, 35:4, 1868–1896

Kondor

Clients' Connections: Measuring the Role of Private Information in Decentralized Markets, Péter Kondor, Gábor Pintér, Journal of Finance, 77:1, 505-544

Peng2

Taming the Bias Zoo, Hongqi Liu, Cameron Peng, Wei A. Xiong and Wei Xiong, Journal of Financial Economics, 143:2, 716-741

Varela

Exchange Rate Exposure and Firm Dynamics, Juliana Salomao, Liliana Varela, Review of Economic Studies, 89:1, 481-514

GonzalezUribe

Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization, Ashwini Agrawal, Juanita González-Uribe, Jimmy Martínez-Correa, Journal of Financial Economics, 143:1, 381-408

Martin

Market efficiency in the age of big data, Ian W.R. Martin, Stefan Nagel, Journal of Financial Economics, 145:1, 154-177


 

2021

Martin

Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment, Can Gao, Ian W. R. Martin, Journal of Finance, 76:6, 3211-3254

 

Lou

Informed trading in government bond markets, Robert Czech, Shiyang Huang, Dong Lou, Tianyu Wang, Journal of Financial Economics, 142:3, 1253-1274

 

Paravisini

High-cost debt and perceived creditworthiness: Evidence from the UK, Andres Liberman, Daniel Paravisini, Vikram Pathania, Journal of Financial Economics, 142:2, 719-736

 

Paravisini

Measuring Bias in Consumer Lending, Will Dobbie, Andres Liberman, Daniel Paravisini, Vikram Pathania, Review of Economic Studies, 88:6, 2799–2832

 

JullYuan

Network risk and key players: A structural analysis of interbank liquidity, Edward Denbee, Christian Julliard, Ye Li, Kathy Yuan, Journal of Financial Economics, 141:3, 831-859

 

Lou

The Rate of Communication, Huang Shiyang, Hwang Byoung-Hyoun, Dong Lou, Journal of Financial Economics, 141:2, 533-550

 

Georgy Chabakauri

Asset Pricing with Index Investing, Georgy Chabakauri, Oleg Rytchkov, Journal of Financial Economics, 141:1, 195-216

Jenter

Performance-Induced CEO Turnover, Dirk Jenter, Katharina Lewellen, Review of Financial Studies, 34:2, 569–617

 

Zhong

A Dynamic Model of Optimal Creditor Dispersion, Hongda Zhong, Journal of Finance, 76:1, 267-316

 

GonzalezUribe

Identifying and boosting “Gazelles”: Evidence from business accelerators, Juanita González-Uribe, Santiago Reyes, Journal of Financial Economics, 139:1, 260-287

 

2020

Kondor

Corrigendum to “Trading and Information Diffusion in Over-the-Counter Markets” Ana Babus, Péter Kondor, Yilin Wang, Econometrica, 88:5, 2221-2228

Agrawal

Information Dispersion across Employees and Stock Returns, Ashwini Agrawal, Isaac Hacamo, Zhongchen Hu, Review of Financial Studies, 34:10, 4785–4831

Lou

IQ from IP: Simplifying search in portfolio choice, Huaizhi Chena, Lauren Cohen, Umit Gurun, Dong Lou, Christopher Malloy, Journal of Financial Economics, 138:1, 118-137

Vicente Cunat

Price and Probability: Decomposing the Takeover Effects of Anti-Takeover ProvisionsVicente Cuñat, Maria Guadalupe and Mireia Gine, Journal of Finance, 75:5, 2591-2629

Thummim Cho

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

Lopes-Cocco

Aging in Place, Housing Maintenance, and Reverse Mortgages, João F Cocco, Paula Lopes, Review of Economic Studies, 87:4, 1799-1836 

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

Oehmke

A Theory of Multiperiod Debt Structure, Chong Huang, Martin Oehmke and Hongda Zhong,  Review of Financial Studies, 32:11, 4447-4500

Georgy Chabakauri

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

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

Lou-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.

Bretscher

Interest Rate Risk Management in Uncertain Times, Lorenzo Bretscher, Lukas Schmid, Andrea Vedolin, Review of Financial Studies, 31:8, 3019–3060

 

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

Vedolin

International correlation risk, Philippe Mueller, Andreas Stathopoulos, Andrea Vedolin, Journal of Financial Economics, 126:2, 270-299

 

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

Vedolin

Exchange Rates and Monetary Policy Uncertainty, Philippe Mueller, Alireza Tahbaz-Salehi, Andrea Vedolin, Journal of Finance, 72:3, 1213-1252

 

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

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

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

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

Martin

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

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

Yuan

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

Makarov

CDS Auctions, Mikhail Chernov, Alexander S. Gorbenko, Igor Makarov, Review of Financial Studies, 26:3, 768–805

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

2012

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

Georgy Chabakauri

Dynamic Hedging in Incomplete Markets: A Simple Solution, Suleyman Basak, Georgy Chabakauri, Review of Financial Studies, 25:6, 1845–1896

 

Anderson

Corporate Liquidity and Capital Structure, R. Anderson and A. Carverhill, Review of Financial Studies, 25:3, 797-837

Cunat

Search, Design, and Market Structure, H. Bar-Isaac, V. Cunat, and G. Caruana, American Economic Review, 102:2, 1140-1160

Vayanos

Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition, D. Vayanos and J. Wang, Review of Financial Studies, 25:5, 1339–1365

2011

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

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

Michela Verardo

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

2010

Georgy Chabakauri

Dynamic mean-variance asset allocation, S. Basak and G. Chabakauri, Review of Financial Studies, 23:8, 2970–3016

Christopher Polk

Growth or Glamour? Fundamentals and systematic risks in stock returns, J. Campbell, C. Polk, and T. Vuolteenaho, Review of Financial Studies, 23:1, 305-344

Vayanos

The gambler's and hot-hand fallacies: Theory and applications, M. Rabin and D. Vayanos, Review of Economic Studies, 77:2, 730-778

Ferreira

Moderation in groups: Evidence from betting on ice break-ups in Alaska, R. Adams and D. Ferreira, Review of Economic Studies, 77:3, 882-913

Vayanos

Price Pressure in the Government Bond Market, Robin Greenwood, Dimitri Vayanos, American Economic Review, 100:2, 585-590

 

Antoine Faure-Grimaud

Satisficing Contracts, Patrick Bolton, Antoine Faure-Grimaud, Review of Economic Studies, 77:3, 937–971