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Details about Dimitri Vayanos

Homepage:https://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 2023-12-21. Update your information in the RePEc Author Service.

Short-id: pva498


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Working Papers

2024

  1. The Impact of Green Investors on Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in BIS Working Papers, Bank for International Settlements (2023) Downloads

2023

  1. Asset management as creator of market inefficiency
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article Asset Management as Creator of Market Inefficiency, Atlantic Economic Journal, Springer (2023) Downloads (2023)
  2. Supply and Demand and the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. The Greek Economic Crisis and the Banks
    GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2023) Downloads

2022

  1. A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022) Downloads View citations (12)
  2. Asset management contracts and equilibrium prices
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (4)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (30)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (33)

    See also Journal Article Asset Management Contracts and Equilibrium Prices, Journal of Political Economy, University of Chicago Press (2022) Downloads View citations (5) (2022)

2021

  1. A preferred-habitat model of the term structure of interest rates
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (62)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (434)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (437)
    FMG Discussion Papers, Financial Markets Group (2009) Downloads View citations (295)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (457)

    See also Journal Article A Preferred‐Habitat Model of the Term Structure of Interest Rates, Econometrica, Econometric Society (2021) Downloads View citations (74) (2021)
  2. The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads

2020

  1. Passive Investing and the Rise of Mega-Firms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2020) Downloads

2019

  1. Financial markets where traders neglect the informational content of prices
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (14)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (11)

    See also Journal Article Financial Markets Where Traders Neglect the Informational Content of Prices, Journal of Finance, American Finance Association (2019) Downloads View citations (34) (2019)
  2. Liquidity risk and the dynamics of arbitrage capital
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (19)
    Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (21)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) Downloads View citations (13)
    FMG Discussion Papers, Financial Markets Group (2014) Downloads View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (13)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (12)

    See also Journal Article Liquidity Risk and the Dynamics of Arbitrage Capital, Journal of Finance, American Finance Association (2019) Downloads View citations (22) (2019)

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 (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (6)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (6)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (6)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) Downloads

    See also Journal Article The Dynamics of Financially Constrained Arbitrage, Journal of Finance, American Finance Association (2018) Downloads View citations (28) (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 (63)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (11)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) Downloads View citations (9)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2016) Downloads View citations (11)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (10)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) Downloads View citations (11)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (21)
    ESRB Working Paper Series, European Systemic Risk Board (2016) Downloads View citations (10)

    See also Journal Article ESBies: safety in the tranches, Economic Policy, CEPR, CESifo, Sciences Po (2017) Downloads View citations (67) (2017)
  2. The Analytics of the Greek Crisis
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley Downloads View citations (57)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (51)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) Downloads View citations (39)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (51)
    GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE (2016) Downloads View citations (52)

    See also Journal Article The Analytics of the Greek Crisis, NBER Macroeconomics Annual, University of Chicago Press (2017) Downloads View citations (40) (2017)
    Chapter The Analytics of the Greek Crisis, NBER Chapters, National Bureau of Economic Research, Inc (2016) View citations (50) (2016)

2016

  1. Curse of the benchmarks
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
  2. The Sovereign-Bank Diabolic Loop and ESBies
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) Downloads
    Also in Discussion Papers, Centre for Macroeconomics (CFM) (2016) Downloads View citations (14)
    CEP Discussion Papers, Centre for Economic Performance, LSE (2016) Downloads View citations (14)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (14)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (10)
    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)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (11)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (15)
    HEC Research Papers Series, HEC Paris (2016) Downloads View citations (14)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads

    See also Journal Article The Sovereign-Bank Diabolic Loop and ESBies, American Economic Review, American Economic Association (2016) Downloads View citations (113) (2016)
  3. 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 (35)

2015

  1. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (12)

    See also Chapter Forward Guidance in the Yield Curve: Short Rates versus Bond Supply, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2016) Downloads View citations (10) (2016)

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 Downloads View citations (47)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (39)
    FMG Discussion Papers, Financial Markets Group (2011) Downloads
    Post-Print, HAL (2013) View citations (45)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads

    See also Journal Article Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, The Review of Financial Studies, Society for Financial Studies (2013) Downloads View citations (47) (2013)

2012

  1. Financially constrained arbitrage and cross-market contagion
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
  2. Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
    FMG Discussion Papers, Financial Markets Group Downloads View citations (34)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) Downloads View citations (5)

    See also Journal Article Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition, The Review of Financial Studies, Society for Financial Studies (2012) Downloads View citations (65) (2012)
  3. Market Liquidity - Theory and Empirical Evidence
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (24)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) Downloads View citations (1)

2011

  1. An institutional Theory of Momentum and Reversal
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (19)
    FMG Discussion Papers, Financial Markets Group (2008) Downloads View citations (18)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (18)

    See also Journal Article An Institutional Theory of Momentum and Reversal, The Review of Financial Studies, Society for Financial Studies (2013) Downloads View citations (146) (2013)
  2. Fund Flows and Asset Prices: A Baseline Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads
  3. Preferred-Habitat Investors and the US Term Structure of Real Rates
    FMG Discussion Papers, Financial Markets Group Downloads View citations (12)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads
    Bank of England working papers, Bank of England (2011) Downloads View citations (15)

2010

  1. Limits of Arbitrage: The State of the Theory
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (158)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) Downloads View citations (11)
    FMG Discussion Papers, Financial Markets Group (2010) Downloads View citations (94)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (155)
  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 (112)
    See also Journal Article Price Pressure in the Government Bond Market, American Economic Review, American Economic Association (2010) Downloads View citations (123) (2010)

2009

  1. Liquidity and Asset Prices: A Unified Framework
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    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 (7)
    FMG Discussion Papers, Financial Markets Group (2009) Downloads View citations (8)

2008

  1. Bond Supply and Excess Bond Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (46)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (43)
    FMG Discussion Papers, Financial Markets Group (2008) Downloads View citations (49)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (59)

    See also Journal Article Bond Supply and Excess Bond Returns, The Review of Financial Studies, Society for Financial Studies (2014) Downloads View citations (241) (2014)

2007

  1. A Search-Based Theory of the On-the-Run Phenomenon
    FMG Discussion Papers, Financial Markets Group Downloads View citations (13)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (12)
    2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (8)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (19)

    See also Journal Article A Search‐Based Theory of the On‐the‐Run Phenomenon, Journal of Finance, American Finance Association (2008) Downloads View citations (172) (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 The Gambler's and Hot-Hand Fallacies: Theory and Applications, The Review of Economic Studies, Review of Economic Studies Ltd (2010) Downloads View citations (107) (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 Strong-Form Efficiency with Monopolistic Insiders, The Review of Financial Studies, Society for Financial Studies (2008) Downloads View citations (17) (2008)
  2. The Gambler's and Hot-Hand Fallacies In a Dynamic-Inference Model
    Levine's Bibliography, UCLA Department of Economics Downloads View citations (2)

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 (305)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (285)
  2. Search and Endogenous Concentration of Liquidity in Asset Markets
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads

    See also Journal Article Search and endogenous concentration of liquidity in asset markets, Journal of Economic Theory, Elsevier (2007) Downloads View citations (130) (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 (249)
    Also in Research Papers, Stanford University, Graduate School of Business (2001) Downloads View citations (11)

    See also Journal Article Persuasion Bias, Social Influence, and Unidimensional Opinions, The Quarterly Journal of Economics, President and Fellows of Harvard College (2003) Downloads View citations (334) (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 (14)
    See also Journal Article The Decentralization of Information Processing in the Presence of Interactions, The Review of Economic Studies, Review of Economic Studies Ltd (2003) Downloads View citations (17) (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 (501)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (32)

    See also Journal Article Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of Financial Economics, Elsevier (2002) Downloads View citations (522) (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 (45)
    See also Journal Article Strategic Trading in a Dynamic Noisy Market, Journal of Finance, American Finance Association (2001) Downloads View citations (47) (2001)

2000

  1. A Model of Persuasion - With Implications for Financial Markets
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (4)

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 (83)
    See also Journal Article Equilibrium interest rate and liquidity premium with transaction costs, Economic Theory, Springer (1999) Downloads View citations (90) (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 (68)
    See also Journal Article Strategic Trading and Welfare in a Dynamic Market, The Review of Economic Studies, Review of Economic Studies Ltd (1999) Downloads View citations (78) (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 (193)
    See also Journal Article Transaction Costs and Asset Prices: A Dynamic Equilibrium Model, The Review of Financial Studies, Society for Financial Studies (1998) View citations (203) (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 (3)
  2. Decentralization and the management of competition
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)

Journal Articles

2023

  1. Asset Management as Creator of Market Inefficiency
    Atlantic Economic Journal, 2023, 51, (1), 1-11 Downloads
    See also Working Paper Asset management as creator of market inefficiency, LSE Research Online Documents on Economics (2023) Downloads (2023)
  2. Corrigendum: A Preferred‐Habitat Model of the Term Structure of Interest Rates
    Econometrica, 2023, 91, (3), 31-32 Downloads

2022

  1. Asset Management Contracts and Equilibrium Prices
    Journal of Political Economy, 2022, 130, (12), 3146 - 3201 Downloads View citations (5)
    See also Working Paper Asset management contracts and equilibrium prices, LSE Research Online Documents on Economics (2022) Downloads View citations (4) (2022)

2021

  1. A Preferred‐Habitat Model of the Term Structure of Interest Rates
    Econometrica, 2021, 89, (1), 77-112 Downloads View citations (74)
    See also Working Paper A preferred-habitat model of the term structure of interest rates, LSE Research Online Documents on Economics (2021) Downloads View citations (62) (2021)

2019

  1. Financial Markets Where Traders Neglect the Informational Content of Prices
    Journal of Finance, 2019, 74, (1), 371-399 Downloads View citations (34)
    See also Working Paper Financial markets where traders neglect the informational content of prices, LSE Research Online Documents on Economics (2019) Downloads View citations (26) (2019)
  2. Liquidity Risk and the Dynamics of Arbitrage Capital
    Journal of Finance, 2019, 74, (3), 1139-1173 Downloads View citations (22)
    See also Working Paper Liquidity risk and the dynamics of arbitrage capital, LSE Research Online Documents on Economics (2019) Downloads View citations (19) (2019)

2018

  1. The Dynamics of Financially Constrained Arbitrage
    Journal of Finance, 2018, 73, (4), 1713-1750 Downloads View citations (28)
    See also Working Paper The dynamics of financially constrained arbitrage, LSE Research Online Documents on Economics (2018) Downloads View citations (26) (2018)

2017

  1. ESBies: safety in the tranches
    Economic Policy, 2017, 32, (90), 175-219 Downloads View citations (67)
    See also Working Paper ESBies: safety in the tranches, LSE Research Online Documents on Economics (2017) Downloads View citations (63) (2017)
  2. The Analytics of the Greek Crisis
    NBER Macroeconomics Annual, 2017, 31, (1), 1 - 81 Downloads View citations (40)
    See also Working Paper The Analytics of the Greek Crisis, Department of Economics, Working Paper Series (2017) Downloads View citations (57) (2017)
    Chapter The Analytics of the Greek Crisis, NBER Chapters, 2016, 1-81 (2016) View citations (50) (2016)

2016

  1. The Sovereign-Bank Diabolic Loop and ESBies
    American Economic Review, 2016, 106, (5), 508-12 Downloads View citations (113)
    See also Working Paper The Sovereign-Bank Diabolic Loop and ESBies, EIEF Working Papers Series (2016) Downloads (2016)

2014

  1. Bond Supply and Excess Bond Returns
    The Review of Financial Studies, 2014, 27, (3), 663-713 Downloads View citations (241)
    See also Working Paper Bond Supply and Excess Bond Returns, CEPR Discussion Papers (2008) Downloads View citations (46) (2008)
  2. Introduction to financial economics
    Journal of Economic Theory, 2014, 149, (C), 1-14 Downloads View citations (1)

2013

  1. An Institutional Theory of Momentum and Reversal
    The Review of Financial Studies, 2013, 26, (5), 1087-1145 Downloads View citations (146)
    See also Working Paper An institutional Theory of Momentum and Reversal, FMG Discussion Papers (2011) Downloads View citations (1) (2011)
  2. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    The Review of Financial Studies, 2013, 26, (8), 1914-1961 Downloads View citations (47)
    See also Working Paper Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, NBER Working Papers (2013) Downloads View citations (47) (2013)

2012

  1. Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
    The Review of Financial Studies, 2012, 25, (5), 1339-1365 Downloads View citations (65)
    See also Working Paper Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition, FMG Discussion Papers (2012) Downloads View citations (34) (2012)
  2. Quantitative Easing and Unconventional Monetary Policy – an Introduction
    Economic Journal, 2012, 122, (564), F271-F288 Downloads View citations (207)
  3. Theories of Liquidity
    Foundations and Trends(R) in Finance, 2012, 6, (4), 221-317 Downloads View citations (4)

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 (44)
  2. Limits of Arbitrage
    Annual Review of Financial Economics, 2010, 2, (1), 251-275 Downloads View citations (203)
  3. Price Pressure in the Government Bond Market
    American Economic Review, 2010, 100, (2), 585-90 Downloads View citations (123)
    See also Working Paper Price pressure in the government bond market, LSE Research Online Documents on Economics (2010) Downloads View citations (112) (2010)
  4. The Gambler's and Hot-Hand Fallacies: Theory and Applications
    The Review of Economic Studies, 2010, 77, (2), 730-778 Downloads View citations (107)
    See also Working Paper The Gambler's and Hot-Hand Fallacies: Theory and Applications, CEPR Discussion Papers (2007) Downloads (2007)

2008

  1. A Search‐Based Theory of the On‐the‐Run Phenomenon
    Journal of Finance, 2008, 63, (3), 1361-1398 Downloads View citations (172)
    See also Working Paper A Search-Based Theory of the On-the-Run Phenomenon, FMG Discussion Papers (2007) Downloads View citations (13) (2007)
  2. Strong-Form Efficiency with Monopolistic Insiders
    The Review of Financial Studies, 2008, 21, (5), 2275-2306 Downloads View citations (17)
    See also Working Paper Strong-form efficiency with monopolistic insiders, LSE Research Online Documents on Economics (2005) Downloads (2005)

2007

  1. Search and endogenous concentration of liquidity in asset markets
    Journal of Economic Theory, 2007, 136, (1), 66-104 Downloads View citations (130)
    See also Working Paper Search and Endogenous Concentration of Liquidity in Asset Markets, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (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 (334)
    See also Working Paper Persuasion bias, social influence, and uni-dimensional opinions, LSE Research Online Documents on Economics (2003) Downloads View citations (249) (2003)
  3. The Decentralization of Information Processing in the Presence of Interactions
    The Review of Economic Studies, 2003, 70, (3), 667-695 Downloads View citations (17)
    See also Working Paper The decentralization of information processing in the presence of interactions, LSE Research Online Documents on Economics (2003) Downloads View citations (14) (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 (522)
    See also Working Paper Equilibrium and welfare in markets with financially constrained arbitrageurs, LSE Research Online Documents on Economics (2002) Downloads View citations (501) (2002)

2001

  1. Strategic Trading in a Dynamic Noisy Market
    Journal of Finance, 2001, 56, (1), 131-171 Downloads View citations (47)
    See also Working Paper Strategic trading in a dynamic noisy market, LSE Research Online Documents on Economics (2001) Downloads View citations (45) (2001)

1999

  1. Equilibrium interest rate and liquidity premium with transaction costs
    Economic Theory, 1999, 13, (3), 509-539 Downloads View citations (90)
    See also Working Paper Equilibrium interest rate and liquidity premium with transaction costs, LSE Research Online Documents on Economics (1999) Downloads View citations (83) (1999)
  2. Strategic Trading and Welfare in a Dynamic Market
    The Review of Economic Studies, 1999, 66, (2), 219-254 Downloads View citations (78)
    See also Working Paper Strategic trading and welfare in a dynamic market, LSE Research Online Documents on Economics (1999) Downloads View citations (68) (1999)

1998

  1. Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
    The Review of Financial Studies, 1998, 11, (1), 1-58 View citations (203)
    See also Working Paper Transaction costs and asset prices: a dynamic equilibrium model, LSE Research Online Documents on Economics (1998) Downloads View citations (193) (1998)

Chapters

2020

  1. A restart procedure to deal with COVID-19
    Chapter 1 in COVID-19 in Developing Economies, 2020, vol. 1, pp 266-276 Downloads View citations (32)

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 (10)
    See also Working Paper Forward Guidance in the Yield Curve: Short Rates versus Bond Supply, National Bureau of Economic Research, Inc (2015) Downloads View citations (13) (2015)
  2. The Analytics of the Greek Crisis
    A chapter in NBER Macroeconomics Annual 2016, Volume 31, 2016, pp 1-81 View citations (50)
    See also Working Paper The Analytics of the Greek Crisis, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2017) Downloads View citations (57) (2017)
    Journal Article The Analytics of the Greek Crisis, University of Chicago Press (2017) Downloads View citations (40) (2017)

2013

  1. Market Liquidity—Theory and Empirical Evidence *
    Elsevier Downloads View citations (12)
 
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