JEL classification

Journal of Economic Literature Classification (10696) G - Financial Economics (1812) G1 - General Financial Markets (925) G12 - Asset Pricing; Trading volume; Bond Interest Rates (316)
Number of items at this level: 316.
Article
  • Accominotti, Olivier, Albers, Thilo, Oosterlinck, Kim (2024). Selective default expectations. Review of Financial Studies, 37(6), 1979 – 2015. https://doi.org/10.1093/rfs/hhad087 picture_as_pdf
  • Adam, K., Marcet, Albert (2011). Internal rationality, imperfect market knowledge and asset prices. Journal of Economic Theory, 146(3), 1224 - 1252. https://doi.org/10.1016/j.jet.2010.11.003
  • Aghion, Philippe, Bloom, Nick, Lucking, Brian, Sadun, Raffaella, Van Reenen, John (2021). Turbulence, firm decentralization and growth in bad times. American Economic Journal: Applied Economics, 13(1), 133 - 169. https://doi.org/10.1257/app.20180752 picture_as_pdf
  • Agrawal, Ashwini, Hacamo, Isaac, Hu, Zhongchen (2021). Information dispersion across employees and stock returns. Review of Financial Studies, 34(10), 4785 – 4831. https://doi.org/10.1093/rfs/hhaa105 picture_as_pdf
  • Ahmad, Wasim, Kutan, Ali M., Gupta, Smarth (2021). Black swan events and COVID-19 outbreak: sector level evidence from the US, UK, and European stock markets. International Review of Economics and Finance, 75, 546 - 557. https://doi.org/10.1016/j.iref.2021.04.007
  • Amiraslani, Hami, Lins, Karl V., Servaes, Henri, Tamayo, Ane (2022). Trust, social capital, and the bond market benefits of ESG performance. Review of Accounting Studies, 28(2), 421 - 462. https://doi.org/10.1007/s11142-021-09646-0 picture_as_pdf
  • Anthropelos, Michail, Kardaras, Constantinos (2017). Equilibrium in risk-sharing games. Finance and Stochastics, 21(3), 815-865. https://doi.org/10.1007/s00780-017-0323-9
  • Aretz, Kevin, Bartram, Söhnke M., Pope, Peter (2010). Macroeconomic risks and characteristic-based factor models. Journal of Banking and Finance, 34(6), 1383-1399. https://doi.org/10.1016/j.jbankfin.2009.12.006
  • Aretz, Kevin, Pope, Peter (2013). Common factors in default risk across countries and industries. European Financial Management, 19(1), 108-152. https://doi.org/10.1111/j.1468-036X.2012.571.x
  • Backus, David, Chernov, Mikhail, Zin, Stanley (2014). Sources of entropy in dynamic representative agent models. Journal of Finance, 69(1), 51-99. https://doi.org/10.1111/jofi.12090
  • Bahar, Dany, Molina, Carlos A., Santos, Miguel Angel (2018). Fool's gold: the impact of Venezuelan currency devaluations on multinational stock prices. Economía, 19(1), 93 - 128. https://doi.org/10.1353/eco.2018.0009 picture_as_pdf
  • Barinov, Alexander, Chabakauri, Georgy (2023). Idiosyncratic volatility, growth options, and the cross-section of returns. Review of Asset Pricing Studies, 13(4), 653 – 690. https://doi.org/10.1093/rapstu/raad006 picture_as_pdf
  • Basak, Suleyman, Chabakauri, Georgy, Yavuz, M. Deniz (2019). Investor protection and asset prices. Review of Financial Studies, 32(12), 4905 - 4946. https://doi.org/10.1093/rfs/hhz038 picture_as_pdf
  • Beaver, William H, Cascino, Stefano, Correia, Maria, McNichols, Maureen F. (2019). Group affiliation and default prediction. Management Science, 65(8), 3559-3584. https://doi.org/10.1287/mnsc.2018.3128
  • Belo, Frederico, Lin, Xiaoji (2012). The inventory growth spread. Review of Financial Studies, 25(1), 278-313. https://doi.org/10.1093/rfs/hhr069
  • Bian, Jiangze, Da, Zhi, He, Zhiguo, Lou, Dong, Shue, Kelly, Zhou, Hao (2024). The drivers and implications of retail margin trading. Journal of Finance, picture_as_pdf
  • Bikbov, Ruslan, Chernov, Mikhail (2013). Monetary policy regimes and the term structure of interest rates. Journal of Econometrics, 174(1), 27-43. https://doi.org/10.1016/j.jeconom.2013.01.002
  • Bikbov, Ruslan, Chernov, Mikhail (2011). Yield curve and volatility: lessons from Eurodollar futures and options. Journal of Financial Econometrics, 9(1), 66-105. https://doi.org/10.1093/jjfinec/nbq019
  • Bloomfield, Matthew J., Heinle, Mirko, Timmermans, Oscar (2024). Relative performance evaluation and strategic peer-harming disclosures. Journal of Accounting Research, 62(3), 877 - 933. https://doi.org/10.1111/1475-679X.12543 picture_as_pdf
  • Broadstock, David C., Fouquet, Roger, Kim, Jeong Won (2025). Carbon pricing and stock performance are carbon prices already more influential than energy prices? Energy Policy, 206, https://doi.org/10.1016/j.enpol.2025.114775 picture_as_pdf
  • Brunnermeier, Markus K., Julliard, Christian (2008). Money illusion and housing frenzies. Review of Financial Studies, 21(1), 135-180. https://doi.org/10.1093/rfs/hhm043
  • Bryzgalova, Svetlana, Huang, Jiantao, Julliard, Christian (2023). Bayesian solutions for the factor zoo: we just ran two quadrillion models. Journal of Finance, 78(1), 487-557. https://doi.org/10.1111/jofi.13197 picture_as_pdf
  • Bryzgalova, Svetlana, Huang, Jiantao, Julliard, Christian (2024). Consumption in asset returns. Journal of Finance, picture_as_pdf
  • Bustamante, Maria Cecilia (2015). Strategic investment and industry risk dynamics. Review of Financial Studies, 28(2), 297 - 341. https://doi.org/10.1093/rfs/hhu067
  • Cambell, John Y., Nosbusch, Yves (2007). Intergenerational risksharing and equilibrium asset prices. Journal of Monetary Economics, 54(8), 2251-2268. https://doi.org/10.1016/j.jmoneco.2007.07.002
  • Campbell, John Y., Giglio, Stefano, Polk, Christopher (2013). Hard times. Review of Asset Pricing Studies, 3(1), 95-132. https://doi.org/10.1093/rapstu/ras026
  • Campiglio, Emanuele, De Angelis, Luca, Neri, Paolo, Scalisi, Ginevra (2025). From climate chat to climate shock: non‐linear impacts of transition risk in energy CDS markets. Environmetrics, 36(3). https://doi.org/10.1002/env.70012 picture_as_pdf
  • Carrasco, M., Chernov, Mikhail, Florens, Jean-Pierre, Ghysels, E. (2007). Efficient estimation of general dynamic models with a continuum of moment conditions. Journal of Econometrics, 140(2), 529-573. https://doi.org/10.1016/j.jeconom.2006.07.013
  • Cascino, Stefano (2017). Stock-bond return co-movement and accounting information. Journal of Business Finance and Accounting, 44(7-8), 1036 - 1072. https://doi.org/10.1111/jbfa.12253
  • Cañon, Carlos, Gerba, Eddie, Pambira, Alberto, Stoja, Evarist (2024). An unconventional FX tail risk story. Journal of International Money and Finance, 148, https://doi.org/10.1016/j.jimonfin.2024.103152 picture_as_pdf
  • Chabakauri, Georgy (2013). Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints. Review of Financial Studies, 26(12), 3104-3141. https://doi.org/10.1093/rfs/hht030
  • Chabakauri, Georgy (2015). Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints. Journal of Monetary Economics, 75, 21-34. https://doi.org/10.1016/j.jmoneco.2014.11.012
  • Chabakauri, Georgy, Rytchkov, Oleg (2021). Asset pricing with index investing. Journal of Financial Economics, 141(1), 195 - 216. https://doi.org/10.1016/j.jfineco.2020.06.023 picture_as_pdf
  • Chabakauri, Georgy, Yuan, Kathy, Zachariadis, Kostas (2022). Multi-asset noisy rational expectations equilibrium with contingent claims. Review of Economic Studies, 89(5), 2445 - 2490. https://doi.org/10.1093/restud/rdab081 picture_as_pdf
  • Chabakauri, Georgy, Yueyang Han, Brandon (2020). Collateral constraints and asset prices. Journal of Financial Economics, 138(3), 754 - 776. https://doi.org/10.1016/j.jfineco.2020.06.012 picture_as_pdf
  • Chang, Jeffery (Jinfan), Du, Huancheng, Lou, Dong, Polk, Christopher (2022). Ripples into waves: trade networks, economic activity, and asset prices. Journal of Financial Economics, 145(1), 217 - 238. https://doi.org/10.1016/j.jfineco.2021.08.005 picture_as_pdf
  • Chen, Xiaohong, Favilukis, Jack, Ludvigson, Sydney C. (2013). An estimation of economic models with recursive preferences. Quantitative Economics, 4(1), 39-83. https://doi.org/10.3982/QE97
  • Cheng, Gong, Jondeau, Eric, Mojon, Benoit, Vayanos, Dimitri (2025). The impact of green investors on stock prices. Review of Finance, picture_as_pdf
  • Chernov, Mikhail (2003). Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116(1-2), 329-364. https://doi.org/10.1016/S0304-4076(03)00111-8
  • Cho, Thummim (2020). Turning alphas into betas: arbitrage and endogenous risk. Journal of Financial Economics, 137(2), 550 - 570. https://doi.org/10.1016/j.jfineco.2020.02.011 picture_as_pdf
  • Cho, Thummim, Kremens, Lukas, Lee, Dongryeol, Polk, Christopher (2024). Scale or yield? A present-value identity. Review of Financial Studies, 37(3), 950 – 988. https://doi.org/10.1093/rfs/hhad068 picture_as_pdf
  • Cho, Thummim, Polk, Christopher (2024). Putting the price in asset pricing. Journal of Finance, 79(6), 3943 - 3984. https://doi.org/10.1111/jofi.13391 picture_as_pdf
  • Correia, Maria, Kang, Johnny, Richardson, Scott (2018). Asset volatility. Review of Accounting Studies, 23(1), 37-94. https://doi.org/10.1007/s11142-017-9431-1
  • Czech, Robert, Huang, Shiyang, Lou, Dong, Wang, Tianyu (2021). Informed trading in government bond markets. Journal of Financial Economics, 142(3), 1253 - 1274. https://doi.org/10.1016/j.jfineco.2021.05.049 picture_as_pdf
  • Danielsson, Jon, Zigrand, Jean-Pierre (2008). Equilibrium asset pricing with systemic risk. Economic Theory, 35(2), 293-319. https://doi.org/10.1007/s00199-007-0238-3
  • Dittmar, Robert F., Yuan, Kathy (2008). Do sovereign bonds benefit corporate bonds in emerging markets? Review of Financial Studies, 21(5), 1983-2014. https://doi.org/10.1093/rfs/hhn015
  • Dutta, Sunil, Nezlobin, Alexander (2017). Information disclosure, firm growth, and the cost of capital. Journal of Financial Economics, 123(2), 415 - 431. https://doi.org/10.1016/j.jfineco.2016.04.001
  • Edwards, Sebastian (2004). The economics of Latin American art: creativity patterns and rates of return. Economía, 4(2), 1 - 36. https://doi.org/10.1353/eco.2004.0015 picture_as_pdf
  • Ergun, Lerby M. (2023). Extreme downside risk in the cross-section of asset returns. International Review of Financial Analysis, 90, https://doi.org/10.1016/j.irfa.2023.102840
  • Eyster, Erik, Piccione, Michele (2013). An approach to asset-pricing under incomplete and diverse perceptions. Econometrica, 81(4), 1483-1506. https://doi.org/10.3982/ECTA10499
  • Fagereng, Andreas, Gomez, Matthieu, Gouin-Bonenfant, Emilien, Holm, Martin, Moll, Benjamin, Natvik, Gisle (2025). Asset-price redistribution. Journal of Political Economy, 133(11), 3494 - 3549. https://doi.org/10.1086/736769 picture_as_pdf
  • Favilukis, Jack (2013). Inequality, stock market participation, and the equity premium. Journal of Financial Economics, 107(3), 740-759. https://doi.org/10.1016/j.jfineco.2012.10.008
  • Fouirnaies, Alexander B., Hall, Andrew B. (2014). The financial incumbency advantage: causes and consequences. Journal of Politics, 76(3), 711-724. https://doi.org/10.1017/S0022381614000139
  • Fujiwara, Ippei, Körber, Lena Mareen, Nagakura, Daisuke (2013). Asymmetry in government bond returns. Journal of Banking and Finance, 37(8), 3218-3226. https://doi.org/10.1016/j.jbankfin.2013.03.002
  • Ghosh, Anisha, Julliard, Christian, Stutzer, Michael J. (2024). The market cost of business cycle fluctuations. Management Science, picture_as_pdf
  • Ghosh, Anisha, Julliard, Christian, Taylor, Alex. P (2025). An information-theoretic asset pricing model. Journal of Financial Econometrics, 23(1). https://doi.org/10.1093/jjfinec/nbae033 picture_as_pdf
  • Ghosh, Anisha, Otsu, Taisuke (2025). Subjective beliefs estimators and their properties. Review of Finance, picture_as_pdf
  • Gomes, Francisco, Michaelides, Alexander (2008). Asset pricing with limited risk sharing and heterogeneous agents. Review of Financial Studies, 21(1), 415-448. https://doi.org/10.1093/rfs/hhm063
  • Gorman, Larry R., Jorgensen, Bjorn N. (2002). Domestic versus international portfolio selection: a statistical examination of the home bias. Multinational Finance Journal, 6(3-4), 131-166.
  • Gospodinov, Nikolay, Otsu, Taisuke (2012). Local GMM estimation of time series models with conditional moment restrictions. Journal of Econometrics, 170(2), 476-490. https://doi.org/10.1016/j.jeconom.2012.05.017
  • Gourinchas, Pierre-Olivier, Ray, Walker, Vayanos, Dimitri (2025). A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers. American Economic Review, 115(11), 3788 – 3824. https://doi.org/10.1257/aer.20220379 picture_as_pdf
  • Greenwood, Robin, Vayanos, Dimitri (2014). Bond supply and excess bond returns. Review of Financial Studies, 27(3), 663 - 713. https://doi.org/10.1093/rfs/hht133
  • Greenwood, Robin, Hanson, Samuel, Vayanos, Dimitri (2024). Supply and demand and the term structure of interest rates. Annual Review of Financial Economics, 16, 115 - 151. https://doi.org/10.1146/annurev-financial-082123-110048 picture_as_pdf
  • Gromb, Denis, Vayanos, Dimitri (2010). A model of financial market liquidity based on intermediary capital. Journal of the European Economic Association, 8(2-3), 456-466. https://doi.org/10.1111/j.1542-4774.2010.tb00516.x
  • Guibaud, Stéphane, Nosbusch, Yves, 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. https://doi.org/10.1093/rfs/hht013
  • Gunny, Katherine A., Jacob, John, Jorgensen, Bjorn N. (2013). Implications of the integral approach and earnings management for alternate annual reporting periods. Review of Accounting Studies, 18(3), 868-891. https://doi.org/10.1007/s11142-013-9235-x
  • Gârleanu, Nicolae, Kogan, Leonid, Panageas, Stavros (2012). Displacement risk and asset returns. Journal of Financial Economics, 105(3), 491-510. https://doi.org/10.1016/j.jfineco.2012.04.002
  • Gârleanu, Nicolae, Panageas, Stavros, Yu, Jianfeng (2012). Technological growth and asset pricing. Journal of Finance, 67(4), 1265-1292. https://doi.org/10.1111/j.1540-6261.2012.01747.x
  • Hardouvelis, Gikas A., Karalas, Georgios, Vayanos, Dimitri (2025). The distribution of investor beliefs, stock ownership, and stock returns. Management Science, https://doi.org/10.1287/mnsc.2022.02027 picture_as_pdf
  • Hassan, Wesam Adel (2025). High stakes in the bazaar: cryptocurrency trading as a game of chance in Istanbul. Critical Gambling Studies, 5(2), 60 - 79. https://doi.org/10.29173/cgs189 picture_as_pdf
  • Henide, Karim (2022). Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP. Journal of Derivatives and Quantitative Studies, 30(2), 74-88. https://doi.org/10.1108/JDQS-10-2021-0026 picture_as_pdf
  • Hilber, Christian A. L., Schöni, Olivier (2020). On the economic impacts of constraining second home investments. Journal of Urban Economics, 118, https://doi.org/10.1016/j.jue.2020.103266 picture_as_pdf
  • Hilscher, Jens, Nosbusch, Yves (2010). Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14(2), 235-262. https://doi.org/10.1093/rof/rfq005
  • Hilscher, Jens, Raviv, Alon, Reis, Ricardo (2022). Inflating away the public debt? An empirical assessment. Review of Financial Studies, 35(3), 1553 - 1595. https://doi.org/10.1093/rfs/hhab018 picture_as_pdf
  • Hirano, Tomohiro, Toda, Alexis Akira (2024). On equilibrium determinacy in overlapping generations models with money. Economics Letters, 239, https://doi.org/10.1016/j.econlet.2024.111758
  • Huang, Shiyang, Qiu, Zhigang, Shang, Qi, Tang, Ke (2013). Asset pricing with heterogeneous beliefs and relative performance. Journal of Banking and Finance, 37(11), 4107-4119. https://doi.org/10.1016/j.jbankfin.2013.07.018
  • Huang, Shiyang, Hwang, Byoung-Hyoun, Lou, Dong (2021). The rate of communication. Journal of Financial Economics, 141(2), 533 - 550. https://doi.org/10.1016/j.jfineco.2021.03.013 picture_as_pdf
  • Ibikunle, Gbenga, McGroarty, Frank, Rzayev, Khaladdin (2020). More heat than light: Investor attention and bitcoin price discovery. International Review of Financial Analysis, 69, https://doi.org/10.1016/j.irfa.2020.101459
  • Jiang, Hao, Vayanos, Dimitri, Zheng, Lu (2025). Passive investing and the rise of mega-firms. Review of Financial Studies, 38(12), 3461 - 3496. https://doi.org/10.1093/rfs/hhaf085 picture_as_pdf
  • Jorgensen, Bjorn N., Li, Jing, Sadka, Gil (2012). Earnings dispersion and aggregate stock returns. Journal of Accounting and Economics, 53(1-2), 1-20. https://doi.org/10.1016/j.jacceco.2011.06.001
  • Julliard, Christian, Ghosh, Anisha (2012). Can rare events explain the equity premium puzzle? Review of Financial Studies, 25(10), 3037-3076. https://doi.org/10.1093/rfs/hhs078
  • Julliard, Christian, Pinter, Gabor, Todorov, Karamfil, Wijnandts, Jean-Charles, Yuan, Kathy (2025). What drives repo haircuts? Evidence from the UK market. Management Science, picture_as_pdf
  • Kardaras, Constantinos, Robertson, Scott (2017). Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21(1), 65-110. https://doi.org/10.1007/s00780-016-0308-0
  • Kirtac, Kemal, Germano, Guido (2024). Sentiment trading with large language models. Finance Research Letters, 62(Part B), p. 105227. https://doi.org/10.1016/j.frl.2024.105227 picture_as_pdf
  • Kling, Gerhard, Lo, Yuen C, Murinde, Victor, Volz, Ulrich (2025). Climate vulnerability and the cost of debt. Oxford Open Economics, 4, https://doi.org/10.1093/ooec/odaf003 picture_as_pdf
  • Kogana, Shimon, Makarov, Igor, Niessnerc, Marina, Schoar, Antoinette (2024). Are cryptos different? Evidence from retail trading. Journal of Financial Economics, 159, https://doi.org/10.1016/j.jfineco.2024.103897 picture_as_pdf
  • Koundouri, Phoebe, Kourogenis, Nikolaos, Pittis, Nikitas, Samartzis, Panagiotis (2016). Factor models of stock returns: GARCH errors versus time-varying betas. Journal of Forecasting, 35(5), 445-461. https://doi.org/10.1002/for.2387
  • Kremens, Lukas, Martin, Ian (2019). The quanto theory of exchange rates. American Economic Review, 109(3), 810-843. https://doi.org/10.1257/aer.20180019
  • Lagos, Ricardo, Zhang, Shengxing (2019). A monetary model of bilateral over-the-counter markets. Review of Economic Dynamics, 33, 205-227. https://doi.org/10.1016/j.red.2019.01.004
  • Lagos, Ricardo, Zhang, Shengxing (2020). Turnover liquidity and the transmission of monetary policy. American Economic Review, 110(6), 1635 - 1672. https://doi.org/10.1257/aer.20170045 picture_as_pdf
  • Liao, Jingchi, Peng, Cameron, Zhu, Ning (2022). Extrapolative bubbles and trading volume. Review of Financial Studies, 35(4), 1682 - 1722. https://doi.org/10.1093/rfs/hhab070 picture_as_pdf
  • Lins, Karl V., Roth, Lukas, Servaes, Henri, Tamayo, Ane (2024). Sexism, culture, and firm value: evidence from the Harvey Weinstein scandal and the #MeToo movement. Journal of Accounting Research, 62(5), 1989 - 2035. https://doi.org/10.1111/1475-679x.12573 picture_as_pdf
  • Lou, Dong (2012). A flow-based explanation for return predictability. Review of Financial Studies, 25(12), 3457-3489. https://doi.org/10.1093/rfs/hhs103
  • Lou, Dong, Yan, Hongjun, Zhang, Jinfan (2013). Anticipated and repeated shocks in liquid markets. Review of Financial Studies, 26(8), 1891-1912. https://doi.org/10.1093/rfs/hht034
  • Lou, Dong, Pinter, Gabor, Üslü, Semih, Walker, Danny (2025). Yield drifts when issuance comes before macro news. Journal of Financial Economics, 165, https://doi.org/10.1016/j.jfineco.2025.103993 picture_as_pdf
  • Lou, Dong, Polk, Christopher (2022). Comomentum: inferring arbitrage activity from return correlations. Review of Financial Studies, 35(7), 3272 - 3302. https://doi.org/10.1093/rfs/hhab117 picture_as_pdf
  • Lou, Dong, Polk, Christopher, Skouras, Spyros (2019). A tug of war: overnight versus intraday expected returns. Journal of Financial Economics, 134(1), 192-213. https://doi.org/10.1016/j.jfineco.2019.03.011
  • Lyons, Ronan C. (2018). Credit conditions and the housing price ratio: evidence from Ireland’s boom and bust. Journal of Housing Economics, https://doi.org/10.1016/j.jhe.2018.05.002
  • Makarov, Igor, Schoar, Antoinette (2020). Trading and arbitrage in cryptocurrency markets. Journal of Financial Economics, 135(2), 293 - 319. https://doi.org/10.1016/j.jfineco.2019.07.001 picture_as_pdf
  • Malkhozov, Aytek, Mueller, Philippe, Vedolin, Andrea, Venter, Gyuri (2016). Mortgage risk and the yield curve. Review of Financial Studies, 29(5), 1220 - 1253. https://doi.org/10.1093/rfs/hhw003
  • Martin, Ian W. R. (2008). Disasters and the welfare cost of uncertainty. American Economic Review, 98(2), 74-78. https://doi.org/10.1257/aer.98.2.74
  • Martin, Ian W.R., Nagel, Stefan (2022). Market efficiency in the age of big data. Journal of Financial Economics, 145(1), 154 - 177. https://doi.org/10.1016/j.jfineco.2021.10.006 picture_as_pdf
  • Martin, Ian, Papadimitriou, Dimitris (2022). Sentiment and speculation in a market with heterogeneous beliefs. American Economic Review, 112(8), 2465 - 2517. https://doi.org/10.1257/aer.20200505 picture_as_pdf
  • Martin, Ian, Ross, Steve (2019). Notes on the yield curve. Journal of Financial Economics, 134(3), 689 - 702. https://doi.org/10.1016/j.jfineco.2019.04.014
  • Millo, Yuval, MacKenzie, Donald (2009). The usefulness of inaccurate models: financial risk management "in the wild". Journal of Risk Model Validation, 3(1), 23-49.
  • Nimalendran, Mahendrarajah, Rzayev, Khaladdin, Sagade, Satchit (2024). High-frequency trading in the stock market and the costs of options market making. Journal of Financial Economics, 159, https://doi.org/10.1016/j.jfineco.2024.103900 picture_as_pdf
  • Norberg, Ragnar (2005). Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9(4), 519-537. https://doi.org/10.1007/s00780-005-0157-8
  • Norberg, Ragnar (2006). Dynamic Greeks. Insurance: Mathematics and Economics, 39(1), 123-133. https://doi.org/10.1016/j.insmatheco.2006.01.008
  • Olivares Rios, A., Rodríguez, G., Ataurima Arellano, M. (2019). Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors. Journal of Economic Studies, 46(3), 533-563. https://doi.org/10.1108/JES-04-2017-0089
  • Ortu, F., Tamoni, Andrea, Tebaldi, C. (2013). Long-run risk and the persistence of consumption shocks. Review of Financial Studies, 26(11), 2876-2915. https://doi.org/10.1093/rfs/hht038
  • Patton, Andrew J., Verardo, Michela (2012). Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25(9), 2789-2839. https://doi.org/10.1093/rfs/hhs073
  • Phelan, C. E., Marazzina, D., Germano, G. (2020). Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Quantitative Finance, 20(6), 899 - 918. https://doi.org/10.1080/14697688.2020.1718192 picture_as_pdf
  • Rahi, Rohit, Zigrand, Jean-Pierre (2009). Strategic financial innovation in segmented markets. Review of Financial Studies, 22(8), 2941-2971. https://doi.org/10.1093/rfs/hhn061
  • Scherrer, Cristina Mabel (2021). Information processing on equity prices and exchange rate for cross-listed stocks. Journal of Financial Markets, 54, https://doi.org/10.1016/j.finmar.2021.100634 picture_as_pdf
  • Shanken, Jay, Tamayo, Ane (2012). Payout yield, risk, and mispricing: A Bayesian analysis. Journal of Financial Economics, 105(1), 131-152. https://doi.org/10.1016/j.jfineco.2011.12.002
  • Todorov, Karamfil (2020). Quantify the quantitative easing: impact on bonds and corporate debt issuance. Journal of Financial Economics, 135(2), 340 - 358. https://doi.org/10.1016/j.jfineco.2019.08.003 picture_as_pdf
  • Vayanos, Dimitri, Woolley, Paul (2013). An institutional theory of momentum and reversal. Review of Financial Studies, 26(5), 1087-1145. https://doi.org/10.1093/rfs/hht014
  • Vayanos, Dimitri, Woolley, Paul (2023). Asset management as creator of market inefficiency. Atlantic Economic Journal, 51(1), 1-11. https://doi.org/10.1007/s11293-023-09769-6 picture_as_pdf
  • Venmans, Frank (2021). The leverage anomaly in U.S. bank stock returns. Journal of International Financial Markets, Institutions and Money, 75, https://doi.org/10.1016/j.intfin.2021.101425 picture_as_pdf
  • Xin, Wei, Grant, Lewis, Groom, Ben, Zhang, Chendi (2025). Noisy biodiversity: the impact of ESG biodiversity ratings on asset prices. Ecological Economics, 236, https://doi.org/10.1016/j.ecolecon.2025.108662 picture_as_pdf
  • Yadav, Pradeep K., Pope, Peter (1994). Stock index futures mispricing: profit opportunities or risk premia? Journal of Banking and Finance, 18(5), 921-953. https://doi.org/10.1016/0378-4266(94)00026-3
  • Yuan, Kathy (2005). Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion. Journal of Finance, 60(1), 379-411.
  • Yuan, Kathy (2005). The liquidity service of benchmark securities. Journal of the European Economic Association, 3(5), 1156-1180. https://doi.org/10.1162/1542476054729428
  • Yuan, Kathy, Zheng, Liu, Zhu, Qiaoqiao (2006). Are investors moonstruck?: lunar phases and stock returns. Journal of Empirical Finance, 13(1), 1-23. https://doi.org/10.1016/j.jempfin.2005.06.001
  • Černý, Aleš, Czichowsky, Christoph (2025). The law of one price in quadratic hedging and mean–variance portfolio selection. Finance and Stochastics, 29(3), 847 - 884. https://doi.org/10.1007/s00780-025-00563-7 picture_as_pdf
    • Chapter
  • Favilukis, Jack (2011). International capital flows and house prices: theory and evidence. In Glaeser, Edward, Sinai, Todd (Eds.), Housing and the Financial Crisis . National Bureau of Economic Research.
    • Conference or Workshop Item
  • Gomes, Francisco, Michaelides, Alexander (2005-02-10 - 2005-02-12) Asset pricing with limited risk sharing and heterogeneous agents [Paper]. 15th Utah Winter Finance Conference, Utah, United States, USA.
  • Julliard, Christian (2005-08-19 - 2005-08-24) Labor income risk and asset returns [Paper]. Econometric Society 2005 World Congress, London, United Kingdom, GBR.
  • Julliard, Christian (2005-08-24 - 2005-08-27) Labor income risk and asset returns [Paper]. European Economic Association 20th Annual Congress, Amsterdam, Netherlands, NLD.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2006-04-06 - 2006-04-08) Arbitrage networks [Paper]. Decentralization Conference, Paris, France, FRA.
    • Report
  • Farmer, J. Doyne, Goodhart, C. A. E., Kleinnijenhuis, Alissa M. (2020). Systemic implications of the bail-in design: a precis of our main text. (SUERF Policy Notes 257). SUERF The European Money and Finance Forum.
    • Working paper
  • Adam, Klaus, Marcet, Albert (2011). Booms and busts in asset prices. (CEP Discussion Papers CEPDP1059). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Adam, Klaus, Marcet, Albert (2011). Internal rationality, imperfect market knowledge and asset prices. (CEP Discussion Papers CEPDP1068). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Adam, Klaus, Marcet, Albert, Nicolini, Juan Pablo (2011). Stock market volatility and learning. (CEP Discussion Papers CEPDP1077). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Agrawal, Ashwini, Hacamo, Isaac, Hu, Zhongchen (2018). Employees and stock returns. SSRN.
  • Agrawal, Ashwini, Hacamo, Isaac, Hu, Zhongchen (2020). Information dispersion across employees and stock returns. (Financial Markets Group Discussion Papers 792). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2004). Simulated nonparametric estimation of continuous time models of asset prices and returns. (Discussion paper 476). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2005). Simulated nonparametric estimation of dynamic models with applications to finance. (Financial Markets Group Discussion Papers 539). Financial Markets Group, The London School of Economics and Political Science.
  • Anton, Miguel, Polk, Christopher (2010). Connected stocks. (Financial Markets Group Discussion Papers 651). Financial Markets Group, The London School of Economics and Political Science.
  • Basak, Suleyman, Chabakauri, Georgy, Yavuz, M. (2018). Investor protection and asset prices. (Financial Markets Group Discussion Papers 779). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Bazdrech, Santiago, Belo, Frederico, Lin, Xiaoji (2009). Labor hiring, investment and stock return predictability in the cross section. (Financial Markets Group Discussion Papers 628). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Benhamou, Eric (2000). Pricing convexity adjustment with Wiener chaos. (Financial Markets Group Discussion Papers 351). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Benhamou, Eric (2000). A generalisation of Malliavin weighted scheme for fast computation of the Greeks. (Financial Markets Group Discussion Papers 350). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Benmir, Ghassane, Roman, Josselin, Taschini, Luca (2025). Weitzman meets Taylor: EU allowance price drivers and carbon cap rules. (Grantham Research Institute on Climate Change and the Environment Working Papers 421). Grantham Research Institute on Climate Change and the Environment, London School of Economics and Political Science. picture_as_pdf
  • Biais, Bruno, Rochet, Jean-Charles, Woolley, Paul (2009). Rents, learning and risk in the financial sector and other innovative industries. (Financial Markets Group Discussion Papers 632). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Bian, Jiangze, Da, Zhi, He, Zhiguo, Lou, Dong, Shue, Kelly, Zhou, Hao (2021). Margin trading and leverage management. (Financial Markets Group Discussion Papers 839). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Bienz, Carsten, Faure-Grimaud, Antoine, Fluck, Zsuzsanna (2011). Defeasance of control rights. (Financial Markets Group Discussion Papers 679). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Blasberg, Alexander, Kiesel, Rüdiger, Taschini, Luca (2023). Carbon default swap – disentangling the exposure to carbon risk through CDS. (CCCEP Working Paper 416). Centre for Climate Change Economics and Policy. picture_as_pdf
  • Blasberg, Alexander, Kiesel, Rüdiger, Taschini, Luca (2023). Carbon default swap – disentangling the exposure to carbon risk through CDS. (Grantham Research Institute on Climate Change and the Environment Working Papers 391). Grantham Research Institute on Climate Change and the Environment, London School of Economics and Political Science. picture_as_pdf
  • Blasberg, Alexander, Kiesel, Rüdiger, Taschini, Luca (2024). Carbon default swap – disentangling the exposure to carbon risk through CDS. (Grantham Research Institute on Climate Change and the Environment Working Papers 391). Grantham Research Institute on Climate Change and the Environment, London School of Economics and Political Science. picture_as_pdf
  • Bortolan, Leonardo, Dey, Atreya, Taschini, Luca (2024). Volatile temperatures and their effects on equity returns and firm performance. (Grantham Research Institute on Climate Change and the Environment Working Papers 417). Grantham Research Institute on Climate Change and the Environment, London School of Economics and Political Science. picture_as_pdf
  • Bracke, Philippe, Pinchbeck, Ted, Wyatt, James (2014). The time value of housing: historical evidence from London residential leases. (SERC discussion papers SERCDP0168). Spatial Economics Research Centre.
  • Bretscher, Lorenzo, Julliard, Christian, Rosa, Carlo (2015). Human capital and international portfolio diversification: a reappraisal. (Systemic Risk Centre Discussion Papers 48). Systemic Risk Centre, The London School of Economics and Political Science.
  • Bretscher, Lorenzo, Julliard, Christian, Rosa, Carlo (2015). Human capital and international portfolio diversification: a reappraisal. (Systemic Risk Centre Discussion Papers 48). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Bruche, Max, Segura, Anatoli (2013). Debt maturity and the liquidity of secondary debt markets. (Financial Markets Group Discussion Papers 726). Financial Markets Group, The London School of Economics and Political Science.
  • Brunnermeier, Markus (1998). Buy on rumours - sell on news: a manipulative trading strategy. (Financial Markets Group Discussion Papers 309). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Brunnermeier, Markus K., Julliard, Christian (2006). Money illusion and housing frenzies. (Financial Markets Group Discussion Papers 579). Financial Markets Group, The London School of Economics and Political Science.
  • Brunnermeier, Markus K., Julliard, Christian (2006). Money illusion and housing frenzies. National Bureau of Economic Research.
  • Brunnermeier, Markus K., Julliard, Christian (2007). Money illusion and housing frenzies. Centre for Economic Policy Research, London School of Economics and Political Science.
  • Brunnermeier, Markus K., Parker, Jonathan A. (2002). Optimal expectations. (Financial Markets Group Discussion Papers 434). Financial Markets Group, The London School of Economics and Political Science.
  • Bryzgalova, Svetlana, Huang, Jiantao, Julliard, Christian (2020). Bayesian solutions for the factor zoo: we just ran two quadrillion models. (Systemic Risk Centre Discussion Papers 93). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Bryzgalova, Svetlana, Julliard, Christian (2020). Consumption in asset returns. (Systemic Risk Centre Discussion Papers 92). Systemic Risk Centre, The London School of Economics and Political Science.
  • Buffa, Andrea, Vayanos, Dimitri, Woolley, Paul (2014). Asset management contracts and equilibrium prices. (Financial Markets Group Discussion Papers 736). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Buiter, Willem H. (2008). Central banks and financial crises. (Financial Markets Group Discussion Papers 619). Financial Markets Group, The London School of Economics and Political Science.
  • Buraschi, Andrea, Trojani, Fabio, Vedolin, Andrea (2011). Economic uncertainty, disagreement, and credit markets.
  • Buraschi, Andrea, Trojani, Fabio, Vedolin, Andrea (2011). When uncertainty blows in the orchard: comovement and equilibrium volatility risk premia. (EFA 2009 Bergen meetings paper). SSRN.
  • Bustamante, Maria Cecilia (2011). Strategic investment, industry concentration and the cross section of returns. (Financial Markets Group Discussion Papers 681). Financial Markets Group, The London School of Economics and Political Science.
  • Bustamante, Maria Cecilia, Donangelo, Andres (2014). Product market competition and industry returns. Social Science Research Network (SSRN).
  • Bustamante, Maria Cecilia, Donangelo, Andrés (2014). Product market competition and industry returns. (Financial Markets Group Discussion Papers 728). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Campbell, John Y., Giglio, Stefano, Polk, Christopher (2011). Hard times. (AFA 2012 Chicago Meetings Paper). SSRN.
  • Campbell, John Y., Giglio, Stefano, Polk, Christopher (2012). An intertemporal CAPM with stochastic volatility. National Bureau of Economic Research.
  • Campbell, John Y., Nosbusch, Yves (2007). Intergenerational risksharing and equilibrium asset prices. (Financial Markets Group Discussion Papers 589). Financial Markets Group, The London School of Economics and Political Science.
  • Cañon, Carlos, Gerba, Eddie, Pambira, Alberto, Stoja, Evarist (2023). An unconventional FX tail risk story. picture_as_pdf
  • Cella, Cristina, Ellul, Andrew, Giannetti, Mariassunta (2013). Investors' horizons and the amplification of market shocks. (Financial Markets Group Discussion Papers 717). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Chabakauri, Georgy (2010). Asset pricing with heterogeneous investors and portfolio constraints. (Working paper series). London School of Economics and Political Science.
  • Chabakauri, Georgy (2012). Asset pricing with heterogeneous investors and portfolio constraints. (Financial Markets Group Discussion Papers 707). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Chabakauri, Georgy (2015). Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors. (Working papers). Social Science Research Network (SSRN).
  • Chabakauri, Georgy (2015). Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors. (Systemic Risk Centre Discussion Papers 35). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Chabakauri, Georgy (2015). Dynamic equilibrium with rare events and heterogeneous epstein-zin investors. (Systemic Risk Centre Discussion Papers 35). Systemic Risk Centre, The London School of Economics and Political Science.
  • Chabakauri, Georgy, Han, Brandon (2017). Collateral constraints and asset prices. (Financial Markets Group Discussion Papers 776). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Chabakauri, Georgy, Rytchkov, Oleg (2014). Asset pricing with index investing. (Working papers). Social Science Research Network (SSRN).
  • Chabakauri, Georgy, Rytchkov, Oleg (2020). Asset pricing with index investing. (Financial Markets Group Discussion Papers 806). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Chabakauri, Georgy, Yuan, Kathy, Zachariadis, Konstantinos (2014). Multi-asset noisy rational expectations equilibrium with contingent claims. (Working papers). Social Science Research Network (SSRN).
  • Chabakauri, Georgy, Yuan, Kathy, Zachariadis, Konstantinos (2021). Multi-asset noisy rational expectations equilibrium with contingent claims. (Financial Markets Group Discussion Papers 745). Financial Markets Group, The London School of Economics and Political Science.
  • Chaigneau, Pierre, Eeckhoudt, Louis (2016). Downside risk neutral probabilities. (Financial Markets Group Discussion Papers 756). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Chen, Xiaohong, Favilukis, Jack, Ludvigson, Sydney C. (2007). An estimation of economic models with recursive preferences. (Financial Markets Group Discussion Papers 603). Financial Markets Group, The London School of Economics and Political Science.
  • Cho, Thummim (2018). Turning alphas into betas: arbitrage and the cross-section of risk. (Financial Markets Group Discussion Papers 780). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Choi, Darwin, Lou, Dong, Mukherjee, Abhiroop (2018). The effect of superstar firms on college major choice. (Financial Markets Group Discussion Papers 772). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Choi, Hoyong, Mueller, Philippe, Vedolin, Andrea (2016). Bond variance risk premiums. Social Science Research Network (SSRN).
  • Connor, Gregory, Hagmann, Matthias, Linton, Oliver (2007). Efficient estimation of a semiparametric characteristic-based factor model of security returns. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Connor, Gregory, Hagmann, Matthias, Linton, Oliver (2007). Efficient estimation of a semiparametric characteristic-based factor model of security returns. (Financial Markets Group Discussion Papers 599). Financial Markets Group, The London School of Economics and Political Science.
  • Connor, Gregory, Linton, Oliver (2006). Semiparametric estimation of a characteristic-based factor model of common stock returns. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Constantinides, George M., Ghosh, Anisha (2008). Asset pricing tests with long run risks in consumption growth. (Financial Markets Group Discussion Papers 609). Financial Markets Group, The London School of Economics and Political Science.
  • Cui, Wei, Kaas, Leo (2017). Default cycles. (CFM discussion paper series CFM-DP2017-16). Centre For Macroeconomics.
  • Cvijanovic, Dragana, Favilukis, Jack, Polk, Christopher (2010). New in town: demographics, immigration, and the price of real estate. Department of Finance, London School of Economics and Political Science.
  • Czech, Robert, Huang, Shiyang, Lou, Dong, Wang, Tianyu (2021). Informed trading in government bond markets. (Financial Markets Group Discussion Papers 837). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Danielsson, Jon, Zigrand, Jean-Pierre (2006). Equilibrium asset pricing with systemic risk. (Financial Markets Group Discussion Papers 561). Financial Markets Group, The London School of Economics and Political Science.
  • Danilova, Albina, Julliard, Christian (2015). Information asymmetries, volatility, liquidity and the Tobin Tax. (Financial Markets Group Discussion Papers 748). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Danilova, Albina, Julliard, Christian (2014). Information asymmetries, volatility, liquidity, and the Tobin Tax. (Systemic Risk Centre Discussion Papers 24). Systemic Risk Centre, The London School of Economics and Political Science.
  • Dasgupta, Amil, Prat, Andrea, Verardo, Michela (2010). The price impact of institutional herding. (Financial Markets Group Discussion Papers 652). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • De Paoli, Bianca, Zabczyk, Pawel (2012). Cyclical risk aversion, precautionary saving and Monetary Policy. (CEP Discussion Papers CEPDP1132). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • De Paoli, Bianca, Zabczyk, Pawel (2012). Policy design in a model with swings in risk appetite. (CEP Discussion Papers CEPDP1170). London School of Economics and Political Science. Centre for Economic Performance.
  • Ellison, Martin, Tischbirek, Andreas (2018). Beauty contests and the term structure. (CFM Discussion Paper Series CFMDP2018-07). Centre For Macroeconomics, London School of Economics and Political Science.
  • Ellul, Andrew (2001). The dealers ride again: volatility and order flow dynamics in a hybrid market. (Financial Markets Group Discussion Papers 368). Financial Markets Group, The London School of Economics and Political Science.
  • Ellul, Andrew, Jotikasthira, Chotibhak, Lundblad, Christian, Wang, Yihui (2012). Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading. (Financial Markets Group Discussion Papers 701). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ellul, Andrew, Jotikasthira, Chotibhak, Lundblad, Christian T., Wang, Yihui (2013). Mark-to-market accounting and systemic risk: evidence from the insurance industry. (Systemic Risk Centre Discussion Papers 4). Systemic Risk Centre, The London School of Economics and Political Science.
  • Ergun, Lerby, Uthemann, Andreas (2020). Higher-order uncertainty in financial markets: evidence from a consensus pricing service. (Systemic Risk Centre Discussion Papers 98). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Espinoza, Raphael A., Goodhart, Charles, Tsomocos, Dimitrios P. (2007). Endogenous state prices, liquidity, default, and the yield curve. (Financial Markets Group Discussion Papers 583). Financial Markets Group, The London School of Economics and Political Science.
  • Eyster, Erik, Rabin, Matthew, Vayanos, Dimitri (2017). Financial markets where traders neglect the informational content of prices. (Financial Markets Group Discussion Papers 770). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Favilukis, Jack (2007). Inequality, stock market participation, and the equity premium. (Financial Markets Group Discussion Papers 602). Financial Markets Group, The London School of Economics and Political Science.
  • Favilukis, Jack, Lin, Xiaoji (2011). Micro frictions, asset pricing, and aggregate implications. Social Science Research Network (SSRN). https://doi.org/10.2139/ssrn.1712949
  • Favilukis, Jack, Lin, Xiaoji (2011). Micro frictions, asset pricing, and aggregate implications. (Financial Markets Group Discussion Papers 673). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Favilukis, Jack, Lin, Xiaoji (2012). Wage rigidity: a solution to several asset pricing puzzles.
  • Favilukis, Jack, Ludvigson, Sydney C., Van Nieuwerburgh, Stijn (2012). Foreign ownership of U.S. safe assets: good or bad? (Finance working papers FIN-11-057). Leonard N. Stern School of Business, New York University.
  • Favilukis, Jack, Ludvigson, Sydney C., Van Nieuwerburgh, Stijn (2012). The macroeconomic effects of housing wealth, housing finance, and limited risk-sharing in general equilibrium. (Finance working papers FIN-11-054). Leonard N. Stern School of Business, New York University.
  • Gale, Douglas, Yorulmazer, Tanju (2011). Liquidity hoarding. (Financial Markets Group Discussion Papers 682). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Gao, Pengjie, Lou, Dong (2011). Cross-market timing in security issuance. (AFA 2012 Chicago Meetings Paper). SSRN. https://doi.org/10.2139/ssrn.1787187
  • Gao, Pengjie, Lou, Dong (2013). Cross-market timing in security issuance. (Financial Markets Group Discussion Papers 718). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ghosh, Anisha, Julliard, Christian, Taylor, Alex (2011). What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. (Financial Markets Group Discussion Papers 691). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ghosh, Anisha, Julliard, Christian, Taylor, Alex (2016). An information based one-factor asset pricing model. (Financial Markets Group Discussion Papers 749). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ghosh, Anisha, Linton, Oliver (2007). Consistent estimation of the risk-return tradeoff in the presence of measurement error. (Financial Markets Group Discussion Papers 605). Financial Markets Group, The London School of Economics and Political Science.
  • Gomes, Francisco, Michaelides, Alexander (2007). Asset pricing with limited risk sharing and heterogeneous agents. Centre for Economic Policy Research (Great Britain).
  • Gostlow, Glen (2020). The materiality and measurement of physical climate risk: evidence from Form 8-K. (Geography and Environment Discussion Paper Series 15). Department of Geography and Environment, LSE. picture_as_pdf
  • Greenwood, Robin, Vayanos, Dimitri (2008). Bond supply and excess bond returns. (Financial Markets Group Discussion Papers 607). Financial Markets Group, The London School of Economics and Political Science.
  • Gromb, Denis, Vayanos, Dimitri (2017). The dynamics of financially constrained arbitrage. (Financial Markets Group Discussion Papers 771). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Gromb, Denis, Vayanos, Dimitri (2015). The dynamics of financially constrained arbitrage. (Systemic Risk Centre Discussion Papers 32). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Guidolin, Massimo, Timmermann, Allan (2001). Option prices under Bayesian learning: implied volatility dynamics and predictive densities. (Financial Markets Group Discussion Papers 397). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Hanson, Samuel, Malkhozov, Aytek, Venter, Gyuri (2022). Demand-supply imbalance risk and long-term swap spreads. (Systemic Risk Centre Discussion Papers 118). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Hege, Ulrich, Mella-Barral, Pierre (2000). Collateral, renegotiation and the value of diffusely held debt. (Financial Markets Group Discussion Papers 339). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Hilber, Christian A. L., Mense, Andreas (2021). Why have house prices risen so much more than rents in superstar cities? (Geography and Environment Discussion Paper Series 30). Department of Geography and Environment, LSE. picture_as_pdf
  • Hilber, Christian A. L., Schöni, Olivier (2020). On the economic impacts of constraining second home investments. (Geography and Environment Discussion Paper Series 6). Department of Geography and Environment, LSE. picture_as_pdf
  • Hilber, Christian A. L., Schöni, Olivier (2018). The economic impacts of constraining second home investments. (CEP Discussion Papers CEPDP1556). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Hilber, Christian A. L., Turner, Tracy M. (2024). Land use regulation, homeownership and wealth inequality. (CEP Discussion Papers CEPDP2003). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Hilber, Christian Albin Lukas, Mense, Andreas (2021). Why have house prices risen so much more than rents in superstar cities? (CEP Discussion Papers CEPDP1743). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Hwang, Byoung-Hyoun, Lou, Dong (2012). Do analysts manage earnings forecasts to 'confirm' their own recommendations?
  • Hwang, Byoung-Hyoung, Lou, Dong, Yin, Chengxi (2014). Offsetting disagreement and security prices. (Financial Markets Group Discussion Papers 739). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ibikunle, Gbenga, Rzayev, Khaladdin (2020). Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility. (Systemic Risk Centre Discussion Papers 95). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Jiang, Hao, Vayanos, Dimitri, Zheng, Lu (2020). Tracking biased weights: asset pricing implications of value-weighted indexing. (Financial Markets Group Discussion Papers 823). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Julliard, Christian (2007). Labor income risk and asset returns. Christian Julliard.
  • Julliard, Christian (2002). The international diversification puzzle is not worse than you think. Christian Julliard.
  • Julliard, Christian, Ghosh, Anisha (2008). Can rare events explain the equity premium puzzle? (Financial Markets Group Discussion Papers 610). Financial Markets Group, The London School of Economics and Political Science.
  • Jurczenko, Emmanuel, Maillet, Bertrand, Negrea, Bogdan (2002). Revisited multi-moment approximate option pricing models a general comparison (Part 1). (Financial Markets Group Discussion Papers 430). Financial Markets Group, The London School of Economics and Political Science.
  • Jurczenko, Emmanuel, Maillet, Bertrand, Negrea, Bogdan (2002). Skewness and kurtosis implied by option prices: a second comment. (Financial Markets Group Discussion Papers 419). Financial Markets Group, The London School of Economics and Political Science.
  • Kang, Johnny, Pekkala, Tapio, Polk, Christopher, Ribeiro, Ruy (2011). Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year. (Financial Markets Group Discussion Papers 671). Financial Markets Group, The London School of Economics and Political Science.
  • Kleinert, Jörn, Neugebauer, Katja (2012). All you need is trade: on the in(ter)dependence of trade and asset holdings in gravity equations. (IAW-Diskussionspapiere 80). IAW.
  • Kondor, Peter (2004). Rational trader risk. (Financial Markets Group Discussion Papers 533). Financial Markets Group, The London School of Economics and Political Science.
  • Kondor, Peter (2004). The more we know, the less we agree: public announcements and higher-order expectations. (Financial Markets Group Discussion Papers 532). Financial Markets Group, The London School of Economics and Political Science.
  • Kondor, Peter, Pinter, Gabor (2019). Private information and client connections in government bond markets. (CFM discussion paper series CFM-DP2019-01). Centre For Macroeconomics, London School of Economics and Political Science. picture_as_pdf
  • Kondor, Peter, Pintér, Gábor (2019). Clients' connections. (Financial Markets Group Discussion Papers 786). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kremens, Lukas, Martin, Ian (2017). The quanto theory of exchange rates. (Systemic Risk Centre Discussion Papers 75). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Kremens, Lukas, Martin, Ian (2017). The quanto theory of exchange rates. (Financial Markets Group Discussion Papers 769). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Leon, Angel, Sentana, Enrique (1997). Pricing options on assets with predictable white noise returns. (Financial Markets Group Discussion Papers 267). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Liao, Jingchi, Peng, Cameron, Zhu, Ning (2021). Extrapolative bubbles and trading volume. (Financial Markets Group Discussion Papers 828). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Liao, Jingchi, Peng, Cheng, Zhu, Ning (2019). Price and volume dynamics in bubbles. SSRN. https://doi.org/10.2139/ssrn.3188960 picture_as_pdf
  • Lin, Xiaoji (2009). Endogenous technological progress and the cross section of stock returns. (Financial Markets Group Discussion Papers 634). Financial Markets Group, The London School of Economics and Political Science.
  • Linton, Oliver, Mammen, Enno (2003). Estimating semiparametric ARCH (8) models by kernel smoothing methods. (Econometrics; EM/2003/453 EM/03/453). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Linton, Oliver, Mammen, Enno, Nielsen, J., Taanggard, C. (2004). Yield curve estimation by kernel smoothing. (Financial Markets Group Discussion Papers 515). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Linton, Oliver, Mammen, Enno, Perch Nielsen, Jens, Tanggaard, C (2000). Yield curve estimation by kernel smoothing methods. (Econometrics EM/00/385). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Linton, Oliver, Perron, Benoit (2000). The shape of the risk premium: evidence from a semiparametric GARCH model. (Financial Markets Group Discussion Papers 514). Financial Markets Group, The London School of Economics and Political Science.
  • Lleo, Sebastien, Zhitlukhin, Mikhail, Ziemba, William (2021). Using a mean changing stochastic processes exit-entry model for stock market long-short prediction. (Systemic Risk Centre Discussion Papers 109). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Lleo, Sebastien, Ziemba, Bill (2014). Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (Systemic Risk Centre Discussion Papers 21). Systemic Risk Centre, The London School of Economics and Political Science.
  • Lleo, Sebastien, Ziemba, William (2017). A tale of two indexes: predicting equity market downturns in China. (Systemic Risk Centre Discussion Papers 72). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Lleo, Sebastien, Ziemba, William (2018). A tale of two indexes: predicting equity market downturns in China. (Systemic Risk Centre Discussion Papers 82). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Lleo, Sebastien, Ziemba, William T. (2014). Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? (Systemic Risk Centre Discussion Papers 18). Systemic Risk Centre, The London School of Economics and Political Science.
  • Lotz, Christopher (1998). Locally minimizing the credit risk. (Financial Markets Group Discussion Papers 281). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Lou, Dong (2013). Attracting investor attention through advertising. London School of Economics and Political Science.
  • Lou, Dong, Polk, Christopher (2013). Comomentum: inferring arbitrage activity from return correlations. (Financial Markets Group Discussion Papers 721). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Lou, Dong, Polk, Christopher, Huang, Shiyang (2014). The booms and busts of beta arbitrage. (Financial Markets Group Discussion Papers 743). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Lou, Dong, Polk, Christopher, Skouras, Spyros (2015). A tug of war: overnight versus intraday expected returns. (Financial Markets Group Discussion Papers 744). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Lou, Dong, Yan, Hongjun, Zhang, Jinfan (2011). Anticipated and repeated shocks in liquid markets. (Financial Markets Group Discussion Papers 684). Financial Markets Group, The London School of Economics and Political Science.
  • Makarov, Igor, Schoar, Antoinette (2021). Blockchain analysis of the Bitcoin market. (Financial Markets Group Discussion Papers 844). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Makarov, Igor, Schoar, Antoinette (2018). Trading and Arbitrage in Cryptocurrency Markets. (Financial Markets Group Discussion Papers 782). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Malkhozov, Aytek, Tamoni, Andrea (2015). News shocks and asset prices. (Systemic Risk Centre Discussion Papers 34). Systemic Risk Centre, The London School of Economics and Political Science.
  • Martin, Ian, Papadimitriou, Dimitris (2019). Sentiment and speculation in a market with heterogeneous beliefs. (Financial Markets Group Discussion Papers 785). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Martin, Ian, Wagner, Christian (2016). What is the expected return on a stock? (Financial Markets Group Discussion Papers 760). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mele, Antonio (2004). General properties of rational stock-market fluctuations. (Financial Markets Group Discussion Papers 489). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mella-Barral, Pierre, Tychon, Pierre (1996). Default risk in asset pricing. (Financial Markets Group Discussion Papers 250). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Merz, Monika, Yashiv, Eran (2005). Labor and the market value of the firm. (CEDP 690). London School of Economics and Political Science. Centre for Economic Performance.
  • Moffitt, Steven D., Ziemba, William T. (2017). Does it pay to buy the pot in the Canadian 6/49 Lotto: implications for lottery design. (Systemic Risk Centre Discussion Papers 64). Systemic Risk Centre, The London School of Economics and Political Science.
  • Mueller, Philippe, Stathopoulos, Andreas, Vedolin, Andrea (2013). International correlation risk. (Financial Markets Group Discussion Papers 716). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mueller, Philippe, Vedolin, Andrea, Yen, Yu-Min (2012). Bond variance risk premia. (Financial Markets Group Discussion Papers 699). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mueller, Philippe, Vedolin, Andrea, Zhou, Hao (2011). Short run bond risk premia. (Financial Markets Group Discussion Papers 686). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mueller, Philippe, Vedolin, Andrea, Zhou, Hao (2011). Short-run bond risk premia. (AFA 2013 San Diego Meetings Paper).
  • Muñoz, Sònia (2004). Real effects of regional house prices: dynamic panel estimation with heterogeneity. (Financial Markets Group Discussion Papers 493). Financial Markets Group, The London School of Economics and Political Science.
  • Neugebauer, Katja, Spies, Julia (2012). Borrowing locally, operating globally? financing and trading patterns of firms during the economic crisis. (EFIGE working paper 55). European Firms in a Global Economy.
  • Niguez, Trino-Manuel, Perote, Javier (2004). Forecasting the density of asset returns. (EM 479). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Oehmke, Martin, Zawadowski, Adam (2016). The anatomy of the CDS market. (Financial Markets Group Discussion Papers 761). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ortalo-Magné, François, Rady, Sven (1998). Housing market fluctuations in a life-cycle economy with credit constraints. (Financial Markets Group Discussion Papers 296). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Parker, Jonathan A., Julliard, Christian (2003). Consumption risk and cross-sectional returns. National Bureau of Economic Research.
  • Patton, Andrew J., Verardo, Michela (2009). Does beta move with news? Systematic risk and firm-specific information flows. (Financial Markets Group Discussion Papers 630). Financial Markets Group, The London School of Economics and Political Science.
  • Penaranda, Francisco (2007). Portfolio choice beyond the traditional approach. (Financial Markets Group Discussion Papers 587). Financial Markets Group, The London School of Economics and Political Science.
  • Peng, Cameron, Wang, Chen (2021). Factor demand and factor returns. (Financial Markets Group Discussion Papers 829). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Peng, Cheng, Wang, Chen (2019). Positive feedback trading and stock prices: evidence from mutual funds. SSRN. https://doi.org/10.2139/ssrn.3327849
  • Peñaranda, Francisco (2009). Understanding portfolio efficiency with conditioning information. (Financial Markets Group Discussion Papers 626). Financial Markets Group, The London School of Economics and Political Science.
  • Peñaranda, Francisco, Sentana, Enrique (2004). Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. (Financial Markets Group Discussion Papers 497). Financial Markets Group, The London School of Economics and Political Science.
  • Pinter, Gabor (2018). Macroeconomic shocks and risk premia. (CFM Discussion Paper Series CFM-DP2018-12). Centre For Macroeconomics, London School of Economics and Political Science. picture_as_pdf
  • Pintor, Gabor (2016). The macroeconomic shock with the highest price of risk. (CFM discussion paper series CFM-DP2016-23). Centre For Macroeconomics.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2008). Arbitrage networks. Rohit Rahi and Jean-Pierre Zigrand.
  • Rahi, Rohit, Zigrand, Jean-Pierre (2007). Strategic financial innovation in segmented markets. (Financial Markets Group Discussion Papers 595). Financial Markets Group, The London School of Economics and Political Science.
  • Sandmann, G., Koopman, Siem (1996). Maximum likelihood estimation of stochastic volatility models. (Financial Markets Group Discussion Papers 248). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Shamsi, Javad (2023). Understanding multi-layered sanctions: a firm-level analysis. (CEP Discussion Papers CEPDP1956). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Shiryaev, Albert N., Zhitlukhin, M. V., Ziemba, William T. (2013). When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model. (Systemic Risk Centre Discussion Papers 5). Systemic Risk Centre, The London School of Economics and Political Science.
  • Snell, Andy, Tonks, Ian, Bulkley, George (1996). Excessive stock price dispersion: a regression test of cross-sectional volatility. (Financial Markets Group Discussion Papers 246). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Sullivan, Ryan, Timmermann, Allan, White, Halbert (1998). Data snooping, technical trading, rule performance, and the bootstrap. (Financial Markets Group Discussion Papers 303). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Sullivan, Ryan, Timmermann, Allan, White, Halbert (1998). The dangers of data-driven inference: the case of calender effects in stock returns. (Financial Markets Group Discussion Papers 304). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Wang, Jiang (2012). Liquidity and asset returns under asymmetric information and imperfect competition. (Financial Markets Group Discussion Papers 708). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Wang, Jiang (2012). Market liquidity - theory and empirical evidence. (Financial Markets Group Discussion Papers 709). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Woolley, Paul (2011). Fund flows and asset prices: a baseline model. (Financial Markets Group Discussion Papers 667). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vedolin, Andrea (2012). Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia. Department of Finance, London School of Economics and Political Science.
  • Zigrand, Jean-Pierre (1999). Arbitrage and endogenous market integration. (Financial Markets Group Discussion Papers 319). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Zigrand, Jean-Pierre (2002). Rational asset pricing implications from realistic trading frictions. (Discussion paper 414). Financial Markets Group, The London School of Economics and Political Science.
  • Zigrand, Jean-Pierre (2001). Rational limits to arbitrage. (Financial Markets Group Discussion Papers 392). Financial Markets Group, The London School of Economics and Political Science.
  • Zigrand, Jean-Pierre, Danielsson, Jon (2001). What happens when you regulate risk?: evidence from a simple equilibrium model. (Financial Markets Group Discussion Papers 393). Financial Markets Group, The London School of Economics and Political Science.
  • van der Ploeg, Frederick, Emmerling, Johannes, Groom, Ben (2023). The social cost of carbon with intragenerational inequality and economic uncertainty. (Grantham Research Institute on Climate Change and the Environment Working Papers 389). Grantham Research Institute on Climate Change and the Environment, London School of Economics and Political Science. picture_as_pdf
  • van der Ploeg, Frederick, Emmerling, Johannes, Groom, Ben (2023). The social cost of carbon with intragenerational inequality and economic uncertainty. (CCCEP Working Paper 414). Centre for Climate Change Economics and Policy. picture_as_pdf
  • Černý, Aleš, Czichowsky, Christoph, Kallsen, Jan (2021). Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. picture_as_pdf