Browse by JEL codes

A

Accominotti, Olivier ORCID: 0009-0005-2682-5064, Albers, Thilo and Oosterlinck, Kim (2024) Selective default expectations. Review of Financial Studies, 37 (6). 1979 – 2015. ISSN 0893-9454

Adam, K. and Marcet, Albert (2011) Internal rationality, imperfect market knowledge and asset prices. Journal of Economic Theory, 146 (3). 1224 - 1252. ISSN 1095-7235

Adam, Klaus and Marcet, Albert (2011) Booms and busts in asset prices. CEP Discussion Papers (CEPDP1059). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Adam, Klaus and 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, London, UK.

Adam, Klaus, Marcet, Albert and Nicolini, Juan Pablo (2011) Stock market volatility and learning. CEP Discussion Papers (CEPDP1077). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Aghion, Philippe ORCID: 0000-0002-9019-1677, Bloom, Nick, Lucking, Brian, Sadun, Raffaella and Van Reenen, John ORCID: 0000-0001-9153-2907 (2021) Turbulence, firm decentralization and growth in bad times. American Economic Journal: Applied Economics, 13 (1). 133 - 169. ISSN 1945-7782

Agrawal, Ashwini ORCID: 0000-0003-0865-9144, Hacamo, Isaac and Hu, Zhongchen (2018) Employees and stock returns. . SSRN.

Agrawal, Ashwini ORCID: 0000-0003-0865-9144, Hacamo, Isaac and Hu, Zhongchen (2021) Information dispersion across employees and stock returns. Review of Financial Studies, 34 (10). 4785 – 4831. ISSN 0893-9454

Agrawal, Ashwini ORCID: 0000-0003-0865-9144, Hacamo, Isaac and 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, London, UK.

Ahmad, Wasim, Kutan, Ali M. and 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. ISSN 1059-0560

Altissimo, Filippo and 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, London, UK.

Altissimo, Filippo and 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, London, UK.

Amiraslani, Hami, Lins, Karl V., Servaes, Henri and Tamayo, Ane ORCID: 0000-0001-7154-0221 (2022) Trust, social capital, and the bond market benefits of ESG performance. Review of Accounting Studies, 28 (2). 421 - 462. ISSN 1380-6653

Anthropelos, Michail and Kardaras, Constantinos ORCID: 0000-0001-6903-4506 (2017) Equilibrium in risk-sharing games. Finance and Stochastics, 21 (3). pp. 815-865. ISSN 0949-2984

Anton, Miguel and Polk, Christopher (2010) Connected stocks. Financial Markets Group Discussion Papers (651). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Aretz, Kevin, Bartram, Söhnke M. and Pope, Peter (2010) Macroeconomic risks and characteristic-based factor models. Journal of Banking and Finance, 34 (6). pp. 1383-1399. ISSN 0378-4266

Aretz, Kevin and Pope, Peter (2013) Common factors in default risk across countries and industries. European Financial Management, 19 (1). pp. 108-152. ISSN 1354-7798

B

Backus, David, Chernov, Mikhail and Zin, Stanley (2014) Sources of entropy in dynamic representative agent models. Journal of Finance, 69 (1). pp. 51-99. ISSN 0022-1082

Bahar, Dany, Molina, Carlos A. and Santos, Miguel Angel (2018) Fool's gold: the impact of Venezuelan currency devaluations on multinational stock prices. Economía, 19 (1). 93 - 128. ISSN 1529-7470

Barinov, Alexander and Chabakauri, Georgy ORCID: 0009-0002-7980-269X (2023) Idiosyncratic volatility, growth options, and the cross-section of returns. Review of Asset Pricing Studies, 13 (4). 653 – 690. ISSN 2045-9920

Basak, Suleyman, Chabakauri, Georgy ORCID: 0009-0002-7980-269X and 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, London, UK.

Basak, Suleyman, Chabakauri, Georgy ORCID: 0009-0002-7980-269X and Yavuz, M. Deniz (2019) Investor protection and asset prices. Review of Financial Studies, 32 (12). 4905 - 4946. ISSN 0893-9454

Bazdrech, Santiago, Belo, Frederico and 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, London, UK.

Beaver, William H, Cascino, Stefano ORCID: 0000-0002-6703-741X, Correia, Maria ORCID: 0000-0002-1766-9427 and McNichols, Maureen F. (2019) Group affiliation and default prediction. Management Science, 65 (8). pp. 3559-3584. ISSN 0025-1909

Belo, Frederico and Lin, Xiaoji (2012) The inventory growth spread. Review of Financial Studies, 25 (1). pp. 278-313. ISSN 0893-9454

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, London, UK.

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, London, UK.

Biais, Bruno, Rochet, Jean-Charles and 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, London, UK.

Bian, Jiangze, Da, Zhi, He, Zhiguo, Lou, Dong ORCID: 0000-0002-5623-4338, Shue, Kelly and 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, London, UK.

Bienz, Carsten, Faure-Grimaud, Antoine and Fluck, Zsuzsanna (2011) Defeasance of control rights. Financial Markets Group Discussion Papers (679). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bikbov, Ruslan and Chernov, Mikhail (2013) Monetary policy regimes and the term structure of interest rates. Journal of Econometrics, 174 (1). pp. 27-43. ISSN 0304-4076

Bikbov, Ruslan and Chernov, Mikhail (2011) Yield curve and volatility: lessons from Eurodollar futures and options. Journal of Financial Econometrics, 9 (1). pp. 66-105. ISSN 1479-8409

Blasberg, Alexander, Kiesel, Rüdiger and Taschini, Luca ORCID: 0000-0001-5355-1736 (2023) Carbon default swap – disentangling the exposure to carbon risk through CDS. CCCEP Working Paper (416). Centre for Climate Change Economics and Policy, London, UK.

Blasberg, Alexander, Kiesel, Rüdiger and Taschini, Luca ORCID: 0000-0001-5355-1736 (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, London, UK.

Bloomfield, Matthew J., Heinle, Mirko and Timmermans, Oscar ORCID: 0000-0003-2220-0057 (2024) Relative performance evaluation and strategic peer-harming disclosures. Journal of Accounting Research, 62 (3). 877 - 933. ISSN 0021-8456

Bracke, Philippe, Pinchbeck, Ted and Wyatt, James (2014) The time value of housing: historical evidence from London residential leases. SERC discussion papers (SERCDP0168). Spatial Economics Research Centre, London, UK.

Bretscher, Lorenzo, Julliard, Christian ORCID: 0000-0001-8177-7441 and 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, London, UK.

Bretscher, Lorenzo, Julliard, Christian ORCID: 0000-0001-8177-7441 and 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, London, UK.

Bruche, Max and 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, London, UK.

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, London, UK.

Brunnermeier, Markus K. and Julliard, Christian ORCID: 0000-0001-8177-7441 (2008) Money illusion and housing frenzies. Review of Financial Studies, 21 (1). pp. 135-180. ISSN 0893-9454

Brunnermeier, Markus K. and Julliard, Christian ORCID: 0000-0001-8177-7441 (2006) Money illusion and housing frenzies. Financial Markets Group Discussion Papers (579). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Brunnermeier, Markus K. and Julliard, Christian ORCID: 0000-0001-8177-7441 (2006) Money illusion and housing frenzies. . National Bureau of Economic Research, Cambridge, MA., USA.

Brunnermeier, Markus K. and Julliard, Christian ORCID: 0000-0001-8177-7441 (2007) Money illusion and housing frenzies. . Centre for Economic Policy Research, London School of Economics and Political Science, London, UK.

Brunnermeier, Markus K. and Parker, Jonathan A. (2002) Optimal expectations. Financial Markets Group Discussion Papers (434). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bryzgalova, Svetlana, Huang, Jiantao and Julliard, Christian ORCID: 0000-0001-8177-7441 (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, London, UK.

Bryzgalova, Svetlana and Julliard, Christian ORCID: 0000-0001-8177-7441 (2020) Consumption in asset returns. Systemic Risk Centre Discussion Papers (92). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Buffa, Andrea, Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and 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, London, UK.

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, London, UK.

Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) Economic uncertainty, disagreement, and credit markets. .

Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) When uncertainty blows in the orchard: comovement and equilibrium volatility risk premia. EFA 2009 Bergen meetings paper. SSRN.

Bustamante, Maria Cecilia (2015) Strategic investment and industry risk dynamics. Review of Financial Studies, 28 (2). 297 - 341. ISSN 0893-9454

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, London, UK.

Bustamante, Maria Cecilia and Donangelo, Andres (2014) Product market competition and industry returns. . Social Science Research Network (SSRN), London, UK.

Bustamante, Maria Cecilia and 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, London, UK.

C

Cambell, John Y. and Nosbusch, Yves (2007) Intergenerational risksharing and equilibrium asset prices. Journal of Monetary Economics, 54 (8). pp. 2251-2268. ISSN 0304-3932

Campbell, John Y., Giglio, Stefano and Polk, Christopher ORCID: 0009-0008-0133-6709 (2013) Hard times. Review of Asset Pricing Studies, 3 (1). pp. 95-132. ISSN 2045-9920

Campbell, John Y., Giglio, Stefano and Polk, Christopher (2011) Hard times. AFA 2012 Chicago Meetings Paper. SSRN.

Campbell, John Y., Giglio, Stefano and Polk, Christopher (2012) An intertemporal CAPM with stochastic volatility. . National Bureau of Economic Research.

Campbell, John Y. and 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, London, UK.

Carrasco, M., Chernov, Mikhail, Florens, Jean-Pierre and Ghysels, E. (2007) Efficient estimation of general dynamic models with a continuum of moment conditions. Journal of Econometrics, 140 (2). pp. 529-573. ISSN 0304-4076

Cascino, Stefano ORCID: 0000-0002-6703-741X (2017) Stock-bond return co-movement and accounting information. Journal of Business Finance and Accounting, 44 (7-8). 1036 - 1072. ISSN 0306-686X

Cañon, Carlos, Gerba, Eddie, Pambira, Alberto and Stoja, Evarist (2023) An unconventional FX tail risk story. .

Cañon, Carlos, Gerba, Eddie, Pambira, Alberto and Stoja, Evarist (2024) An unconventional FX tail risk story. Journal of International Money and Finance, 148. ISSN 0261-5606

Cella, Cristina, Ellul, Andrew and 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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (2010) Asset pricing with heterogeneous investors and portfolio constraints. Working paper series. London School of Economics and Political Science, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (2015) Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints. Journal of Monetary Economics, 75. pp. 21-34. ISSN 0304-3932

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (2015) Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors. Working papers. Social Science Research Network (SSRN), Rochester, USA.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X (2013) Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints. Review of Financial Studies, 26 (12). pp. 3104-3141. ISSN 0893-9454

Chabakauri, Georgy ORCID: 0009-0002-7980-269X and 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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X and Rytchkov, Oleg (2014) Asset pricing with index investing. Working papers. Social Science Research Network (SSRN), Rochester, USA.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X and Rytchkov, Oleg (2021) Asset pricing with index investing. Journal of Financial Economics, 141 (1). 195 - 216. ISSN 0304-405X

Chabakauri, Georgy ORCID: 0009-0002-7980-269X and 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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X, Yuan, Kathy ORCID: 0000-0001-9895-7545 and Zachariadis, Konstantinos (2014) Multi-asset noisy rational expectations equilibrium with contingent claims. Working papers. Social Science Research Network (SSRN), Rochester, USA.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X, Yuan, Kathy ORCID: 0000-0001-9895-7545 and 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, London, UK.

Chabakauri, Georgy ORCID: 0009-0002-7980-269X, Yuan, Kathy ORCID: 0000-0001-9895-7545 and Zachariadis, Konstantinos E. (2022) Multi-asset noisy rational expectations equilibrium with contingent claims. Review of Economic Studies, 89 (5). 2445 - 2490. ISSN 0034-6527

Chabakauri, Georgy ORCID: 0009-0002-7980-269X and Yueyang Han, Brandon (2020) Collateral constraints and asset prices. Journal of Financial Economics, 138 (3). 754 - 776. ISSN 0304-405X

Chaigneau, Pierre and Eeckhoudt, Louis (2016) Downside risk neutral probabilities. Financial Markets Group Discussion Papers (756). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Chang, Jeffery (Jinfan), Du, Huancheng, Lou, Dong ORCID: 0000-0002-5623-4338 and Polk, Christopher ORCID: 0009-0008-0133-6709 (2022) Ripples into waves: trade networks, economic activity, and asset prices. Journal of Financial Economics, 145 (1). 217 - 238. ISSN 0304-405X

Chen, Xiaohong, Favilukis, Jack and 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, London, UK.

Chen, Xiaohong, Favilukis, Jack and Ludvigson, Sydney C. (2013) An estimation of economic models with recursive preferences. Quantitative Economics, 4 (1). pp. 39-83. ISSN 1759-7323

Chernov, Mikhail (2003) Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116 (1-2). pp. 329-364. ISSN 0304-4076

Cho, Thummim (2020) Turning alphas into betas: arbitrage and endogenous risk. Journal of Financial Economics, 137 (2). 550 - 570. ISSN 0304-405X

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, London, UK.

Cho, Thummim, Kremens, Lukas, Lee, Dongryeol and Polk, Christopher ORCID: 0009-0008-0133-6709 (2024) Scale or yield? A present-value identity. Review of Financial Studies, 37 (3). 950 – 988. ISSN 0893-9454

Cho, Thummim and Polk, Christopher ORCID: 0009-0008-0133-6709 (2024) Putting the price in asset pricing. Journal of Finance. ISSN 0022-1082

Choi, Darwin, Lou, Dong ORCID: 0000-0002-5623-4338 and 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, London, UK.

Choi, Hoyong, Mueller, Philippe and Vedolin, Andrea (2016) Bond variance risk premiums. . Social Science Research Network (SSRN).

Connor, Gregory, Hagmann, Matthias and 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, London, UK.

Connor, Gregory, Hagmann, Matthias and 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, London, UK.

Connor, Gregory and 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, London, UK.

Constantinides, George M. and 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, London, UK.

Correia, Maria ORCID: 0000-0002-1766-9427, Kang, Johnny and Richardson, Scott (2018) Asset volatility. Review of Accounting Studies, 23 (1). pp. 37-94. ISSN 1380-6653

Cui, Wei and Kaas, Leo (2017) Default cycles. CFM discussion paper series (CFM-DP2017-16). Centre For Macroeconomics, London, UK.

Cvijanovic, Dragana, Favilukis, Jack and Polk, Christopher (2010) New in town: demographics, immigration, and the price of real estate. . Department of Finance, London School of Economics and Political Science, London, UK.

Czech, Robert, Huang, Shiyang, Lou, Dong ORCID: 0000-0002-5623-4338 and Wang, Tianyu (2021) Informed trading in government bond markets. Journal of Financial Economics, 142 (3). 1253 - 1274. ISSN 0304-405X

Czech, Robert, Huang, Shiyang, Lou, Dong ORCID: 0000-0002-5623-4338 and 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, London, UK.

D

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Equilibrium asset pricing with systemic risk. Financial Markets Group Discussion Papers (561). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2008) Equilibrium asset pricing with systemic risk. Economic Theory, 35 (2). pp. 293-319. ISSN 0938-2259

Danilova, Albina ORCID: 0009-0001-4264-3798 and Julliard, Christian ORCID: 0000-0001-8177-7441 (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, London, UK.

Danilova, Albina ORCID: 0009-0001-4264-3798 and Julliard, Christian ORCID: 0000-0001-8177-7441 (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, London, UK.

Dasgupta, Amil ORCID: 0000-0001-8474-9470, Prat, Andrea and Verardo, Michela ORCID: 0009-0002-4241-6584 (2010) The price impact of institutional herding. Financial Markets Group Discussion Papers (652). Financial Markets Group, The London School of Economics and Political Science, London, UK.

De Paoli, Bianca and 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, London, UK.

De Paoli, Bianca and 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, London, UK.

Dittmar, Robert F. and Yuan, Kathy ORCID: 0000-0001-9895-7545 (2008) Do sovereign bonds benefit corporate bonds in emerging markets? Review of Financial Studies, 21 (5). pp. 1983-2014. ISSN 0893-9454

Dutta, Sunil and Nezlobin, Alexander (2017) Information disclosure, firm growth, and the cost of capital. Journal of Financial Economics, 123 (2). 415 - 431. ISSN 0304-405X

E

Edwards, Sebastian (2004) The economics of Latin American art: creativity patterns and rates of return. Economía, 4 (2). 1 - 36. ISSN 1529-7470

Ellison, Martin and 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, London, UK.

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, London, UK.

Ellul, Andrew, Jotikasthira, Chotibhak, Lundblad, Christian and 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, London, UK.

Ellul, Andrew, Jotikasthira, Chotibhak, Lundblad, Christian T. and 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, London, UK.

Ergun, Lerby and Uthemann, Andreas ORCID: 0000-0002-7942-8530 (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, London, UK.

Ergun, Lerby M. (2023) Extreme downside risk in the cross-section of asset returns. International Review of Financial Analysis, 90. ISSN 1057-5219

Espinoza, Raphael A., Goodhart, Charles and 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, London, UK.

Eyster, Erik and Piccione, Michele (2013) An approach to asset-pricing under incomplete and diverse perceptions. Econometrica, 81 (4). pp. 1483-1506. ISSN 0012-9682

Eyster, Erik, Rabin, Matthew and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (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, London, UK.

F

Farmer, J. Doyne, Goodhart, C. A. E. and 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, Vienna, AT.

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, London, UK.

Favilukis, Jack (2013) Inequality, stock market participation, and the equity premium. Journal of Financial Economics, 107 (3). pp. 740-759. ISSN 0304-405X

Favilukis, Jack (2011) International capital flows and house prices: theory and evidence. In: Glaeser, Edward and Sinai, Todd, (eds.) Housing and the Financial Crisis. National Bureau of Economic Research, Massachusetts, USA. ISBN 9780226030586

Favilukis, Jack and Lin, Xiaoji (2011) Micro frictions, asset pricing, and aggregate implications. . Social Science Research Network (SSRN).

Favilukis, Jack and 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, London, UK.

Favilukis, Jack and Lin, Xiaoji (2012) Wage rigidity: a solution to several asset pricing puzzles. .

Favilukis, Jack, Ludvigson, Sydney C. and 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, New York, USA.

Favilukis, Jack, Ludvigson, Sydney C. and 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, New York, USA.

Fouirnaies, Alexander B. and Hall, Andrew B. (2014) The financial incumbency advantage: causes and consequences. Journal of Politics, 76 (3). pp. 711-724. ISSN 0022-3816

Fujiwara, Ippei, Körber, Lena Mareen and Nagakura, Daisuke (2013) Asymmetry in government bond returns. Journal of Banking and Finance, 37 (8). pp. 3218-3226. ISSN 0378-4266

G

Gale, Douglas and Yorulmazer, Tanju (2011) Liquidity hoarding. Financial Markets Group Discussion Papers (682). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gao, Pengjie and Lou, Dong ORCID: 0000-0002-5623-4338 (2011) Cross-market timing in security issuance. AFA 2012 Chicago Meetings Paper. SSRN.

Gao, Pengjie and Lou, Dong ORCID: 0000-0002-5623-4338 (2013) Cross-market timing in security issuance. Financial Markets Group Discussion Papers (718). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Ghosh, Anisha, Julliard, Christian ORCID: 0000-0001-8177-7441 and 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, London, UK.

Ghosh, Anisha, Julliard, Christian ORCID: 0000-0001-8177-7441 and 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, London, UK.

Ghosh, Anisha and 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, London, UK.

Gomes, Francisco and Michaelides, Alexander (2008) Asset pricing with limited risk sharing and heterogeneous agents. Review of Financial Studies, 21 (1). pp. 415-448. ISSN 0893-9454

Gomes, Francisco and Michaelides, Alexander (2007) Asset pricing with limited risk sharing and heterogeneous agents. . Centre for Economic Policy Research (Great Britain), London, UK.

Gomes, Francisco and Michaelides, Alexander (2005) Asset pricing with limited risk sharing and heterogeneous agents. In: 15th Utah Winter Finance Conference, 2005-02-10 - 2005-02-12, Utah, United States, USA. (Submitted)

Gorman, Larry R. and Jorgensen, Bjorn N. (2002) Domestic versus international portfolio selection: a statistical examination of the home bias. Multinational Finance Journal, 6 (3-4). pp. 131-166. ISSN 1069-1879

Gospodinov, Nikolay and Otsu, Taisuke ORCID: 0000-0002-2307-143X (2012) Local GMM estimation of time series models with conditional moment restrictions. Journal of Econometrics, 170 (2). pp. 476-490. ISSN 0304-4076

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, London, UK.

Greenwood, Robin, Hanson, Samuel and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2024) Supply and demand and the term structure of interest rates. Annual Review of Financial Economics, 16. 115 - 151. ISSN 1941-1367

Greenwood, Robin and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2008) Bond supply and excess bond returns. Financial Markets Group Discussion Papers (607). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Greenwood, Robin and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2014) Bond supply and excess bond returns. Review of Financial Studies, 27 (3). 663 - 713. ISSN 0893-9454

Gromb, Denis and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2017) The dynamics of financially constrained arbitrage. Financial Markets Group Discussion Papers (771). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gromb, Denis and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2015) The dynamics of financially constrained arbitrage. Systemic Risk Centre Discussion Papers (32). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Gromb, Denis and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2010) A model of financial market liquidity based on intermediary capital. Journal of the European Economic Association, 8 (2-3). pp. 456-466. ISSN 1542-4774

Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2013) Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of Financial Studies, 26 (8). pp. 1914-1961. ISSN 0893-9454

Guidolin, Massimo and 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, London, UK.

Gunny, Katherine A., Jacob, John and Jorgensen, Bjorn N. (2013) Implications of the integral approach and earnings management for alternate annual reporting periods. Review of Accounting Studies, 18 (3). pp. 868-891. ISSN 1380-6653

Gârleanu, Nicolae, Kogan, Leonid and Panageas, Stavros (2012) Displacement risk and asset returns. Journal of Financial Economics, 105 (3). pp. 491-510. ISSN 0304-405X

Gârleanu, Nicolae, Panageas, Stavros and Yu, Jianfeng (2012) Technological growth and asset pricing. Journal of Finance, 67 (4). pp. 1265-1292. ISSN 0022-1082

H

Hanson, Samuel, Malkhozov, Aytek and 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, London, UK.

Hardouvelis, Gikas A., Karalas, Georgios and Vayanos, Dimitri ORCID: 0000-0002-0944-4914 (2024) The distribution of investor beliefs, stock ownership and stock returns. Management Science. ISSN 0025-1909 (In Press)

Hege, Ulrich and 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, London, UK.

Henide, Karim (2022) Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP. Journal of Derivatives and Quantitative Studies, 30 (2). pp. 74-88. ISSN 1229-988X

Hilber, Christian A. L. ORCID: 0000-0002-1352-495X and 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, London, UK.

Hilber, Christian A. L. ORCID: 0000-0002-1352-495X and Schöni, Olivier (2020) On the economic impacts of constraining second home investments. Journal of Urban Economics, 118. ISSN 0094-1190

Hilber, Christian A. L. ORCID: 0000-0002-1352-495X and 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, London, UK.

Hilber, Christian A. L. ORCID: 0000-0002-1352-495X and 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, London, UK.

Hilber, Christian Albin Lukas ORCID: 0000-0002-1352-495X and 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, London, UK.

Hilscher, Jens and Nosbusch, Yves (2010) Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14 (2). pp. 235-262. ISSN 1572-3097

Hilscher, Jens, Raviv, Alon and Reis, Ricardo ORCID: 0000-0003-4844-9483 (2022) Inflating away the public debt? An empirical assessment. Review of Financial Studies, 35 (3). 1553 - 1595. ISSN 0893-9454

Hirano, Tomohiro and Toda, Alexis Akira (2024) On equilibrium determinacy in overlapping generations models with money. Economics Letters, 239. ISSN 0165-1765

Huang, Shiyang, Hwang, Byoung-Hyoun and Lou, Dong ORCID: 0000-0002-5623-4338 (2021) The rate of communication. Journal of Financial Economics, 141 (2). 533 - 550. ISSN 0304-405X

Huang, Shiyang, Qiu, Zhigang, Shang, Qi and Tang, Ke (2013) Asset pricing with heterogeneous beliefs and relative performance. Journal of Banking and Finance, 37 (11). pp. 4107-4119. ISSN 0378-4266

Hwang, Byoung-Hyoun and Lou, Dong ORCID: 0000-0002-5623-4338 (2012) Do analysts manage earnings forecasts to 'confirm' their own recommendations? .

Hwang, Byoung-Hyoung, Lou, Dong ORCID: 0000-0002-5623-4338 and 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, London, UK.

I

Ibikunle, Gbenga, McGroarty, Frank and Rzayev, Khaladdin (2020) More heat than light: Investor attention and bitcoin price discovery. International Review of Financial Analysis, 69. ISSN 1057-5219

Ibikunle, Gbenga and 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, London, UK.

J

Jiang, Hao, Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and 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, London, UK.

Jorgensen, Bjorn N., Li, Jing and Sadka, Gil (2012) Earnings dispersion and aggregate stock returns. Journal of Accounting and Economics, 53 (1-2). pp. 1-20. ISSN 0165-4101

Julliard, Christian ORCID: 0000-0001-8177-7441 (2007) Labor income risk and asset returns. . Christian Julliard, London, UK.

Julliard, Christian (2005) Labor income risk and asset returns. In: Econometric Society 2005 World Congress, 2005-08-19 - 2005-08-24, London, United Kingdom, GBR. (Submitted)

Julliard, Christian (2005) Labor income risk and asset returns. In: European Economic Association 20th Annual Congress, 2005-08-24 - 2005-08-27, Amsterdam, Netherlands, NLD. (Submitted)

Julliard, Christian ORCID: 0000-0001-8177-7441 (2002) The international diversification puzzle is not worse than you think. . Christian Julliard, London, UK.

Julliard, Christian ORCID: 0000-0001-8177-7441 and 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, London, UK.

Julliard, Christian ORCID: 0000-0001-8177-7441 and Ghosh, Anisha (2012) Can rare events explain the equity premium puzzle? Review of Financial Studies, 25 (10). pp. 3037-3076. ISSN 0893-9454

Jurczenko, Emmanuel, Maillet, Bertrand and 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, London, UK.

Jurczenko, Emmanuel, Maillet, Bertrand and 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, London, UK.

K

Kang, Johnny, Pekkala, Tapio, Polk, Christopher and 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, London, UK. ISBN 09568549671

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott (2017) Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21 (1). pp. 65-110. ISSN 0949-2984

Kirtac, Kemal and Germano, Guido (2024) Sentiment trading with large language models. Finance Research Letters, 62 (Part B). ISSN 1544-6123

Kleinert, Jörn and 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, Tübingen Germany.

Kogana, Shimon, Makarov, Igor ORCID: 0009-0006-7557-449X, Niessnerc, Marina and Schoar, Antoinette (2024) Are cryptos different? Evidence from retail trading. Journal of Financial Economics, 159. ISSN 0304-405X

Kondor, Peter ORCID: 0000-0001-9797-9291 (2004) Rational trader risk. Financial Markets Group Discussion Papers (533). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Kondor, Peter ORCID: 0000-0001-9797-9291 (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, London, UK.

Kondor, Peter ORCID: 0000-0001-9797-9291 and 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, London, UK.

Kondor, Peter ORCID: 0000-0001-9797-9291 and Pintér, Gábor (2019) Clients' connections. Financial Markets Group Discussion Papers (786). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Koundouri, Phoebe, Kourogenis, Nikolaos, Pittis, Nikitas and Samartzis, Panagiotis (2016) Factor models of stock returns: GARCH errors versus time-varying betas. Journal of Forecasting, 35 (5). pp. 445-461. ISSN 0277-6693

Kremens, Lukas and Martin, Ian ORCID: 0000-0001-8373-5317 (2019) The quanto theory of exchange rates. American Economic Review, 109 (3). pp. 810-843. ISSN 0002-8282

Kremens, Lukas and Martin, Ian ORCID: 0000-0001-8373-5317 (2017) The quanto theory of exchange rates. Systemic Risk Centre Discussion Papers (75). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Kremens, Lukas and Martin, Ian ORCID: 0000-0001-8373-5317 (2017) The quanto theory of exchange rates. Financial Markets Group Discussion Papers (769). Financial Markets Group, The London School of Economics and Political Science, London, UK.

L

Lagos, Ricardo and Zhang, Shengxing ORCID: 0000-0002-1475-2188 (2020) Turnover liquidity and the transmission of monetary policy. American Economic Review, 110 (6). 1635 - 1672. ISSN 0002-8282

Lagos, Ricardo and Zhang, Shengxing ORCID: 0000-0002-1475-2188 (2019) A monetary model of bilateral over-the-counter markets. Review of Economic Dynamics, 33. pp. 205-227. ISSN 1094-2025

Leon, Angel and 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, London, UK.

Liao, Jingchi, Peng, Cameron ORCID: 0009-0008-1297-8686 and Zhu, Ning (2022) Extrapolative bubbles and trading volume. Review of Financial Studies, 35 (4). 1682 - 1722. ISSN 0893-9454

Liao, Jingchi, Peng, Cameron ORCID: 0009-0008-1297-8686 and 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, London, UK.

Liao, Jingchi, Peng, Cheng ORCID: 0009-0008-1297-8686 and Zhu, Ning (2019) Price and volume dynamics in bubbles. . SSRN, London, UK.

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, London, UK.

Lins, Karl V., Roth, Lukas, Servaes, Henri and Tamayo, Ane ORCID: 0000-0001-7154-0221 (2024) Sexism, culture, and firm value: evidence from the Harvey Weinstein scandal and the #MeToo movement. Journal of Accounting Research. ISSN 0021-8456

Linton, Oliver and 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, London, UK.

Linton, Oliver, Mammen, Enno, Nielsen, J. and 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, London, UK.

Linton, Oliver, Mammen, Enno, Perch Nielsen, Jens and Tanggaard, C (2000) Yield curve estimation by kernel smoothing methods. Econometrics (EM/00/385). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Linton, Oliver and 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, London, UK.

Lleo, Sebastien, Zhitlukhin, Mikhail and 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, London, UK.

Lleo, Sebastien and 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, London, UK.

Lleo, Sebastien and 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, London, UK.

Lleo, Sebastien and 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, London, UK.

Lleo, Sebastien and 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, London, UK.

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, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338 (2013) Attracting investor attention through advertising. . London School of Economics and Political Science, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338 (2012) A flow-based explanation for return predictability. Review of Financial Studies, 25 (12). pp. 3457-3489. ISSN 0893-9454

Lou, Dong ORCID: 0000-0002-5623-4338 and Polk, Christopher ORCID: 0009-0008-0133-6709 (2022) Comomentum: inferring arbitrage activity from return correlations. Review of Financial Studies, 35 (7). 3272 - 3302. ISSN 0893-9454

Lou, Dong ORCID: 0000-0002-5623-4338 and Polk, Christopher ORCID: 0009-0008-0133-6709 (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, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338, Polk, Christopher ORCID: 0009-0008-0133-6709 and 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, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338, Polk, Christopher ORCID: 0009-0008-0133-6709 and Skouras, Spyros (2019) A tug of war: overnight versus intraday expected returns. Journal of Financial Economics, 134 (1). pp. 192-213. ISSN 0304-405X

Lou, Dong ORCID: 0000-0002-5623-4338, Polk, Christopher ORCID: 0009-0008-0133-6709 and 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, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338, Yan, Hongjun and 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, London, UK.

Lou, Dong ORCID: 0000-0002-5623-4338, Yan, Hongjun and Zhang, Jinfan (2013) Anticipated and repeated shocks in liquid markets. Review of Financial Studies, 26 (8). pp. 1891-1912. ISSN 0893-9454

Lyons, Ronan C. (2018) Credit conditions and the housing price ratio: evidence from Ireland’s boom and bust. Journal of Housing Economics. ISSN 1051-1377

M

Makarov, Igor ORCID: 0009-0006-7557-449X and 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, London, UK.

Makarov, Igor ORCID: 0009-0006-7557-449X and 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, London, UK.

Makarov, Igor ORCID: 0009-0006-7557-449X and Schoar, Antoinette (2020) Trading and arbitrage in cryptocurrency markets. Journal of Financial Economics, 135 (2). 293 - 319. ISSN 0304-405X

Malkhozov, Aytek, Mueller, Philippe, Vedolin, Andrea and Venter, Gyuri (2016) Mortgage risk and the yield curve. Review of Financial Studies, 29 (5). 1220 - 1253. ISSN 0893-9454

Malkhozov, Aytek and 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, London, UK.

Martin, Ian ORCID: 0000-0001-8373-5317 and Papadimitriou, Dimitris ORCID: 0000-0003-1327-8469 (2022) Sentiment and speculation in a market with heterogeneous beliefs. American Economic Review, 112 (8). 2465 - 2517. ISSN 0002-8282

Martin, Ian ORCID: 0000-0001-8373-5317 and Papadimitriou, Dimitris ORCID: 0000-0003-1327-8469 (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, London, UK.

Martin, Ian ORCID: 0000-0001-8373-5317 and Ross, Steve (2019) Notes on the yield curve. Journal of Financial Economics, 134 (3). 689 - 702. ISSN 0304-405X

Martin, Ian ORCID: 0000-0001-8373-5317 and 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, London, UK.

Martin, Ian W. R. ORCID: 0000-0001-8373-5317 (2008) Disasters and the welfare cost of uncertainty. American Economic Review, 98 (2). pp. 74-78. ISSN 0002-8282

Martin, Ian W.R. ORCID: 0000-0001-8373-5317 and Nagel, Stefan (2022) Market efficiency in the age of big data. Journal of Financial Economics, 145 (1). 154 - 177. ISSN 0304-405X

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, London, UK.

Mella-Barral, Pierre and 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, London, UK.

Merz, Monika and Yashiv, Eran (2005) Labor and the market value of the firm. CEDP (690). London School of Economics and Political Science. Centre for Economic Performance, London, UK. ISBN 0753018705

Millo, Yuval and MacKenzie, Donald (2009) The usefulness of inaccurate models: financial risk management "in the wild". Journal of Risk Model Validation, 3 (1). pp. 23-49. ISSN 1753-9579

Moffitt, Steven D. and 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, London, UK.

Mueller, Philippe, Stathopoulos, Andreas and Vedolin, Andrea (2013) International correlation risk. Financial Markets Group Discussion Papers (716). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Mueller, Philippe, Vedolin, Andrea and 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, London, UK.

Mueller, Philippe, Vedolin, Andrea and 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, London, UK.

Mueller, Philippe, Vedolin, Andrea and 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, London, UK.

N

Neugebauer, Katja and 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, Brussels, Belgium.

Niguez, Trino-Manuel and Perote, Javier (2004) Forecasting the density of asset returns. EM (479). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Nimalendran, Mahendrarajah, Rzayev, Khaladdin and Sagade, Satchit (2024) High-frequency trading in the stock market and the costs of options market making. Journal of Financial Economics, 159. ISSN 0304-405X

Norberg, Ragnar (2005) Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9 (4). pp. 519-537. ISSN 0949-2984

Norberg, Ragnar (2006) Dynamic Greeks. Insurance: Mathematics and Economics, 39 (1). pp. 123-133. ISSN 0167-6687

O

Oehmke, Martin ORCID: 0000-0001-9902-0711 and 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, London, UK.

Olivares Rios, A., Rodríguez, G. and Ataurima Arellano, M. (2019) Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors. Journal of Economic Studies, 46 (3). pp. 533-563. ISSN 0144-3585

Ortalo-Magné, François and 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, London, UK.

Ortu, F., Tamoni, Andrea and Tebaldi, C. (2013) Long-run risk and the persistence of consumption shocks. Review of Financial Studies, 26 (11). pp. 2876-2915. ISSN 0893-9454

P

Parker, Jonathan A. and Julliard, Christian ORCID: 0000-0001-8177-7441 (2003) Consumption risk and cross-sectional returns. . National Bureau of Economic Research, Cambridge, MA., USA.

Patton, Andrew J. and Verardo, Michela ORCID: 0009-0002-4241-6584 (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, London, UK.

Patton, Andrew J. and Verardo, Michela ORCID: 0009-0002-4241-6584 (2012) Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25 (9). pp. 2789-2839. ISSN 0893-9454

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, London, UK.

Peng, Cameron ORCID: 0009-0008-1297-8686 and 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, London, UK.

Peng, Cheng ORCID: 0009-0008-1297-8686 and Wang, Chen (2019) Positive feedback trading and stock prices: evidence from mutual funds. . SSRN.

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, London, UK.

Peñaranda, Francisco and 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, London, UK.

Phelan, C. E., Marazzina, D. and Germano, G. (2020) Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Quantitative Finance, 20 (6). 899 - 918. ISSN 1469-7688

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, London, UK.

Pintor, Gabor (2016) The macroeconomic shock with the highest price of risk. CFM discussion paper series (CFM-DP2016-23). Centre For Macroeconomics, London, UK.

R

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Arbitrage networks. In: Decentralization Conference, 2006-04-06 - 2006-04-08, Paris, France, FRA. (Submitted)

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2008) Arbitrage networks. . Rohit Rahi and Jean-Pierre Zigrand, London, UK.

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2009) Strategic financial innovation in segmented markets. Review of Financial Studies, 22 (8). pp. 2941-2971. ISSN 0893-9454

Rahi, Rohit ORCID: 0000-0001-6887-9160 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2007) Strategic financial innovation in segmented markets. Financial Markets Group Discussion Papers (595). Financial Markets Group, The London School of Economics and Political Science, London, UK.

S

Sandmann, G. and 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, London, UK.

Scherrer, Cristina Mabel ORCID: 0000-0002-7935-5378 (2021) Information processing on equity prices and exchange rate for cross-listed stocks. Journal of Financial Markets, 54. ISSN 1386-4181

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, London, UK.

Shanken, Jay and Tamayo, Ane ORCID: 0000-0001-7154-0221 (2012) Payout yield, risk, and mispricing: A Bayesian analysis. Journal of Financial Economics, 105 (1). pp. 131-152. ISSN 0304-405X

Shiryaev, Albert N., Zhitlukhin, M. V. and 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, London, UK.

Snell, Andy, Tonks, Ian and 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, London, UK.

Sullivan, Ryan, Timmermann, Allan and 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, London, UK.

Sullivan, Ryan, Timmermann, Allan and 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, London, UK.

T

Todorov, Karamfil (2020) Quantify the quantitative easing: impact on bonds and corporate debt issuance. Journal of Financial Economics, 135 (2). 340 - 358. ISSN 0304-405X

V

Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and 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, London, UK.

Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and 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, London, UK.

Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and Woolley, Paul (2023) Asset management as creator of market inefficiency. Atlantic Economic Journal, 51 (1). pp. 1-11. ISSN 0197-4254

Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and 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, London, UK.

Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and Woolley, Paul (2013) An institutional theory of momentum and reversal. Review of Financial Studies, 26 (5). pp. 1087-1145. ISSN 0893-9454

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, London, UK.

Venmans, Frank ORCID: 0000-0002-4264-6606 (2021) The leverage anomaly in U.S. bank stock returns. Journal of International Financial Markets, Institutions and Money, 75. ISSN 1042-4431

van der Ploeg, Frederick, Emmerling, Johannes and Groom, Ben ORCID: 0000-0003-0729-143X (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, London, UK.

van der Ploeg, Frederick, Emmerling, Johannes and Groom, Ben ORCID: 0000-0003-0729-143X (2023) The social cost of carbon with intragenerational inequality and economic uncertainty. CCCEP Working Paper (414). Centre for Climate Change Economics and Policy, London, UK.

Y

Yadav, Pradeep K. and Pope, Peter (1994) Stock index futures mispricing: profit opportunities or risk premia? Journal of Banking and Finance, 18 (5). pp. 921-953. ISSN 0378-4266

Yuan, Kathy ORCID: 0000-0001-9895-7545 (2005) Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion. Journal of Finance, 60 (1). pp. 379-411. ISSN 0022-1082

Yuan, Kathy ORCID: 0000-0001-9895-7545 (2005) The liquidity service of benchmark securities. Journal of the European Economic Association, 3 (5). pp. 1156-1180. ISSN 1542-4774

Yuan, Kathy ORCID: 0000-0001-9895-7545, Zheng, Liu and Zhu, Qiaoqiao (2006) Are investors moonstruck?: lunar phases and stock returns. Journal of Empirical Finance, 13 (1). pp. 1-23. ISSN 0927-5398

Z

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (1999) Arbitrage and endogenous market integration. Financial Markets Group Discussion Papers (319). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2002) Rational asset pricing implications from realistic trading frictions. Discussion paper (414). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2001) Rational limits to arbitrage. Financial Markets Group Discussion Papers (392). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 and Danielsson, Jon ORCID: 0009-0006-9844-7960 (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, London, UK.

Č

Černý, Aleš and Czichowsky, Christoph ORCID: 0000-0002-3513-6843 (2024) The law of one price in quadratic hedging and mean–variance portfolio selection. Finance and Stochastics. ISSN 0949-2984 (In Press)

Černý, Aleš, Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Kallsen, Jan (2021) Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. .