Details about Dimitri Vayanos

Access statistics for papers by Dimitri Vayanos.

Last updated 2013-04-09. Update your information in the RePEc Author Service.

Short-id: pva498

Working Papers

2013

1. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in FMG Discussion Papers, Financial Markets Group (2011)

2012

2. Financially constrained arbitrage and cross-market contagion
   2012 Meeting Papers, Society for Economic Dynamics
3. Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
   FMG Discussion Papers, Financial Markets Group
   See also Journal Article in Review of Financial Studies (2012)
4. Market Liquidity - Theory and Empirical Evidence
   FMG Discussion Papers, Financial Markets Group
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012)

2011

5. An institutional Theory of Momentum and Reversal
   FMG Discussion Papers, Financial Markets Group
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (3)
   FMG Discussion Papers, Financial Markets Group (2008) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (7)
6. Fund Flows and Asset Prices: A Baseline Model
   FMG Discussion Papers, Financial Markets Group
7. Preferred-Habitat Investors and the US Term Structure of Real Rates
   FMG Discussion Papers, Financial Markets Group
   Also in Bank of England working papers, Bank of England (2011) View citations (1)

2010

8. Limits of Arbitrage: The State of the Theory
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (7)
   FMG Discussion Papers, Financial Markets Group (2010) View citations (7)

2009

9. A Preferred-Habitat Model of the Term Structure of Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (7)
   FMG Discussion Papers, Financial Markets Group (2009) View citations (7)
10. Liquidity and Asset Prices: A Unified Framework
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (3)

2008

11. Bond Supply and Excess Bond Returns
    FMG Discussion Papers, Financial Markets Group View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (12)

2007

12. A Search-Based Theory of the On-the-Run Phenomenon
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (18)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (2)
    See also Journal Article in Journal of Finance (2008)
13. The Gambler's and Hot-Hand Fallacies: Theory and Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in FMG Discussion Papers, Financial Markets Group (2007)

2005

14. The Gambler's and Hot-Hand Fallacies In a Dynamic-Inference Model
    Levine's Bibliography, UCLA Department of Economics View citations (3)

2004

15. Flight to Quality, Flight to Liquidity, and the Pricing of Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
16. Search and Endogenous Concentration of Liquidity in Asset Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    See also Journal Article in Journal of Economic Theory (2007)

2003

17. Persuasion bias, social influence, and uni-dimensional opinions
    Open Access publications from London School of Economics and Political Science, London School of Economics and Political Science View citations (11)
    Also in Research Papers, Stanford University, Graduate School of Business (2001) View citations (12)
    See also Journal Article in The Quarterly Journal of Economics (2003)
18. The decentralization of information processing in the presence of interactions
    Open Access publications from London School of Economics and Political Science, London School of Economics and Political Science View citations (7)
    See also Journal Article in Review of Economic Studies (2003)

2001

19. Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)
    See also Journal Article in Journal of Financial Economics (2002)

2000

20. A Model of Persuasion - With Implications for Financial Markets
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)

1999

21. Equilibrium interest rate and liquidity premium with transaction costs
    Open Access publications from London School of Economics and Political Science, London School of Economics and Political Science View citations (12)
    See also Journal Article in Economic Theory (1999)

1993

22. A Dynamic Model of an Imperfectly Competitive Bid-Ask Market
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ View citations (1)
23. Decentralization and the management of competition
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (1)

Journal Articles

2012

1. Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
   Review of Financial Studies, 2012, 25, (5), 1339-1365
   See also Working Paper (2012)
2. Quantitative Easing and Unconventional Monetary Policy – an Introduction
   Economic Journal, 2012, 122, (564), F271-F288

2010

3. A Model of Financial Market Liquidity Based on Intermediary Capital
   Journal of the European Economic Association, 2010, 8, (2-3), 456-466 View citations (1)
4. Limits of Arbitrage
   Annual Review of Financial Economics, 2010, 2, (1), 251-275 View citations (3)
5. Price Pressure in the Government Bond Market
   American Economic Review, 2010, 100, (2), 585-90 View citations (3)

2008

6. A Search-Based Theory of the On-the-Run Phenomenon
   Journal of Finance, 2008, 63, (3), 1361-1398 View citations (21)
   See also Working Paper (2007)
7. Strong-Form Efficiency with Monopolistic Insiders
   Review of Financial Studies, 2008, 21, (5), 2275-2306 View citations (2)

2007

8. Search and endogenous concentration of liquidity in asset markets
   Journal of Economic Theory, 2007, 136, (1), 66-104 View citations (35)
   See also Working Paper (2004)

2003

9. Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]
   Journal of Financial Economics, 2003, 67, (3), 531-531
10. Persuasion Bias, Social Influence, And Unidimensional Opinions
    The Quarterly Journal of Economics, 2003, 118, (3), 909-968 View citations (37)
    See also Working Paper (2003)
11. The Decentralization of Information Processing in the Presence of Interactions
    Review of Economic Studies, 2003, 70, (3), 667-695 View citations (10)
    See also Working Paper (2003)

2002

12. Equilibrium and welfare in markets with financially constrained arbitrageurs
    Journal of Financial Economics, 2002, 66, (2-3), 361-407 View citations (64)
    See also Working Paper (2001)

2001

13. Strategic Trading in a Dynamic Noisy Market
    Journal of Finance, 2001, 56, (1), 131-171 View citations (14)

1999

14. Equilibrium interest rate and liquidity premium with transaction costs
    Economic Theory, 1999, 13, (3), 509-539 View citations (19)
    See also Working Paper (1999)
15. Strategic Trading and Welfare in a Dynamic Market
    Review of Economic Studies, 1999, 66, (2), 219-54 View citations (10)

1998

16. Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
    Review of Financial Studies, 1998, 11, (1), 1-58 View citations (76)