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Details about Dimitri Vayanos

Homepage:http://personal.lse.ac.uk/vayanos/
Workplace:Finance Department, London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Dimitri Vayanos.

Last updated 2019-06-06. Update your information in the RePEc Author Service.

Short-id: pva498


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Working Papers

2018

  1. The dynamics of financially constrained arbitrage
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (4)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (4)

    See also Journal Article in Journal of Finance (2018)

2017

  1. ESBies: safety in the tranches
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (23)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2016) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (2)
    ESRB Working Paper Series, European Systemic Risk Board (2016) Downloads View citations (1)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) Downloads View citations (2)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) Downloads View citations (2)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (15)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (2)

    See also Journal Article in Economic Policy (2017)
  2. The analytics of the Greek crisis
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (21)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (22)
    GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE (2016) Downloads View citations (21)

    See also Journal Article in NBER Macroeconomics Annual (2017)
    Chapter (2016)

2016

  1. The Sovereign-Bank Diabolic Loop and ESBies
    CEP Discussion Papers, Centre for Economic Performance, LSE Downloads View citations (1)
    Also in HEC Research Papers Series, HEC Paris (2016) Downloads View citations (1)
    Working Papers, HAL (2016) View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (1)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) Downloads View citations (1)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (2)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (1)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (1)

    See also Journal Article in American Economic Review (2016)
  2. The analytics of the Greek crisis: celebratory centenary issue
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (21)

2015

  1. Financial Markets where Traders Neglect the Informational Content of Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (7)

    See also Journal Article in Journal of Finance (2019)
  2. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (7)

    See also Chapter (2016)

2014

  1. Asset Management Contracts and Equilibrium Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (23)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (16)
  2. Liquidity Risk and the Dynamics of Arbitrage Capital
    FMG Discussion Papers, Financial Markets Group Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (9)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (8)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (17)

    See also Journal Article in Journal of Finance (2019)

2013

  1. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (24)
    FMG Discussion Papers, Financial Markets Group (2011) Downloads

    See also Journal Article in Review of Financial Studies (2013)

2012

  1. Financially constrained arbitrage and cross-market contagion
    2012 Meeting Papers, Society for Economic Dynamics Downloads
  2. Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
    FMG Discussion Papers, Financial Markets Group Downloads View citations (25)
    See also Journal Article in Review of Financial Studies (2012)
  3. Market Liquidity - Theory and Empirical Evidence
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (5)

2011

  1. An institutional Theory of Momentum and Reversal
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (7)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (11)
    FMG Discussion Papers, Financial Markets Group (2008) Downloads View citations (7)

    See also Journal Article in Review of Financial Studies (2013)
  2. Fund Flows and Asset Prices: A Baseline Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
  3. Preferred-Habitat Investors and the US Term Structure of Real Rates
    FMG Discussion Papers, Financial Markets Group Downloads View citations (10)
    Also in Bank of England working papers, Bank of England (2011) Downloads View citations (10)

2010

  1. Limits of Arbitrage: The State of the Theory
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (72)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (72)
    FMG Discussion Papers, Financial Markets Group (2010) Downloads View citations (70)
  2. Price pressure in the government bond market
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (48)
    See also Journal Article in American Economic Review (2010)

2009

  1. A Preferred-Habitat Model of the Term Structure of Interest Rates
    FMG Discussion Papers, Financial Markets Group Downloads View citations (198)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (200)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (227)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (187)
  2. Liquidity and Asset Prices: A Unified Framework
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (4)

2008

  1. Bond Supply and Excess Bond Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (31)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (38)

    See also Journal Article in Review of Financial Studies (2014)

2007

  1. A Search-Based Theory of the On-the-Run Phenomenon
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (7)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (5)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (16)

    See also Journal Article in Journal of Finance (2008)
  2. The Gambler's and Hot-Hand Fallacies: Theory and Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2007) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads

    See also Journal Article in Review of Economic Studies (2010)

2005

  1. Strong-form efficiency with monopolistic insiders
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Review of Financial Studies (2008)

2004

  1. Flight to Quality, Flight to Liquidity, and the Pricing of Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (125)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (96)
  2. Search and Endogenous Concentration of Liquidity in Asset Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads

    See also Journal Article in Journal of Economic Theory (2007)

2003

  1. Persuasion bias, social influence, and uni-dimensional opinions
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (131)
    Also in Research Papers, Stanford University, Graduate School of Business (2001) Downloads View citations (11)

    See also Journal Article in The Quarterly Journal of Economics (2003)
  2. The decentralization of information processing in the presence of interactions
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (7)
    See also Journal Article in Review of Economic Studies (2003)

2002

  1. Equilibrium and welfare in markets with financially constrained arbitrageurs
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (221)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (30)

    See also Journal Article in Journal of Financial Economics (2002)

2001

  1. Strategic trading in a dynamic noisy market
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (21)

2000

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

1999

  1. Equilibrium interest rate and liquidity premium with transaction costs
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (40)
    See also Journal Article in Economic Theory (1999)
  2. Strategic trading and welfare in a dynamic market
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (30)
    See also Journal Article in Review of Economic Studies (1999)

1998

  1. Transaction costs and asset prices: a dynamic equilibrium model
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (96)
    See also Journal Article in Review of Financial Studies (1998)

1993

  1. 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, 33 Great Sutton Street, London EC1V 0DX. View citations (1)
  2. Decentralization and the management of competition
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)

Journal Articles

2019

  1. Financial Markets Where Traders Neglect the Informational Content of Prices
    Journal of Finance, 2019, 74, (1), 371-399 Downloads View citations (1)
    See also Working Paper (2015)
  2. Liquidity Risk and the Dynamics of Arbitrage Capital
    Journal of Finance, 2019, 74, (3), 1139-1173 Downloads View citations (1)
    See also Working Paper (2014)

2018

  1. The Dynamics of Financially Constrained Arbitrage
    Journal of Finance, 2018, 73, (4), 1713-1750 Downloads View citations (3)
    See also Working Paper (2018)

2017

  1. ESBies: safety in the tranches
    Economic Policy, 2017, 32, (90), 175-219 Downloads View citations (19)
    See also Working Paper (2017)
  2. The Analytics of the Greek Crisis
    NBER Macroeconomics Annual, 2017, 31, (1), 1 - 81 Downloads View citations (3)
    See also Chapter (2016)
    Working Paper (2017)

2016

  1. The Sovereign-Bank Diabolic Loop and ESBies
    American Economic Review, 2016, 106, (5), 508-12 Downloads View citations (1)
    See also Working Paper (2016)

2014

  1. Bond Supply and Excess Bond Returns
    Review of Financial Studies, 2014, 27, (3), 663-713 Downloads View citations (74)
    See also Working Paper (2008)
  2. Introduction to financial economics
    Journal of Economic Theory, 2014, 149, (C), 1-14 Downloads

2013

  1. An Institutional Theory of Momentum and Reversal
    Review of Financial Studies, 2013, 26, (5), 1087-1145 Downloads View citations (69)
    See also Working Paper (2011)
  2. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    Review of Financial Studies, 2013, 26, (8), 1914-1961 Downloads View citations (15)
    See also Working Paper (2013)

2012

  1. Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
    Review of Financial Studies, 2012, 25, (5), 1339-1365 Downloads View citations (27)
    See also Working Paper (2012)
  2. Quantitative Easing and Unconventional Monetary Policy – an Introduction
    Economic Journal, 2012, 122, (564), F271-F288 Downloads View citations (111)
  3. Theories of Liquidity
    Foundations and Trends(R) in Finance, 2012, 6, (4), 221-317 Downloads View citations (1)

2010

  1. A Model of Financial Market Liquidity Based on Intermediary Capital
    Journal of the European Economic Association, 2010, 8, (2-3), 456-466 Downloads View citations (22)
  2. Limits of Arbitrage
    Annual Review of Financial Economics, 2010, 2, (1), 251-275 Downloads View citations (25)
  3. Price Pressure in the Government Bond Market
    American Economic Review, 2010, 100, (2), 585-90 Downloads View citations (57)
    See also Working Paper (2010)
  4. The Gambler's and Hot-Hand Fallacies: Theory and Applications
    Review of Economic Studies, 2010, 77, (2), 730-778 Downloads View citations (57)
    See also Working Paper (2007)

2008

  1. A Search‐Based Theory of the On‐the‐Run Phenomenon
    Journal of Finance, 2008, 63, (3), 1361-1398 Downloads View citations (126)
    See also Working Paper (2007)
  2. Strong-Form Efficiency with Monopolistic Insiders
    Review of Financial Studies, 2008, 21, (5), 2275-2306 Downloads View citations (11)
    See also Working Paper (2005)

2007

  1. Search and endogenous concentration of liquidity in asset markets
    Journal of Economic Theory, 2007, 136, (1), 66-104 Downloads View citations (85)
    See also Working Paper (2004)

2003

  1. 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 Downloads
  2. Persuasion Bias, Social Influence, and Unidimensional Opinions
    The Quarterly Journal of Economics, 2003, 118, (3), 909-968 Downloads View citations (176)
    See also Working Paper (2003)
  3. The Decentralization of Information Processing in the Presence of Interactions
    Review of Economic Studies, 2003, 70, (3), 667-695 Downloads View citations (13)
    See also Working Paper (2003)

2002

  1. Equilibrium and welfare in markets with financially constrained arbitrageurs
    Journal of Financial Economics, 2002, 66, (2-3), 361-407 Downloads View citations (285)
    See also Working Paper (2002)

1999

  1. Equilibrium interest rate and liquidity premium with transaction costs
    Economic Theory, 1999, 13, (3), 509-539 Downloads View citations (52)
    See also Working Paper (1999)
  2. Strategic Trading and Welfare in a Dynamic Market
    Review of Economic Studies, 1999, 66, (2), 219-254 Downloads View citations (37)
    See also Working Paper (1999)

1998

  1. Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
    Review of Financial Studies, 1998, 11, (1), 1-58 View citations (151)
    See also Working Paper (1998)

Chapters

2016

  1. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
    Chapter 02 in Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, 2016, vol. 24, pp 011-062 Downloads View citations (1)
    See also Working Paper (2015)
  2. The Analytics of the Greek Crisis
    A chapter in NBER Macroeconomics Annual 2016, Volume 31, 2016, pp 1-81 View citations (21)
    See also Working Paper (2017)
    Journal Article in NBER Macroeconomics Annual (2017)

2013

  1. Market Liquidity—Theory and Empirical Evidence *
    Elsevier Downloads View citations (3)
 
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