Professor Dimitri Vayanos

Professor of Finance and Director, Paul Woolley Centre for the Study of Capital Market Dysfunctionality|

Research interests

• Liquidity and asset pricing
• Information in asset markets
• Delegated portfolio management
• Behavioural finance

Selected papers

• Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, Review of Financial Studies, forthcoming. (With Jiang Wang)
  Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework. 
   
• Limits of Arbitrage: The State of the Theory, Annual Review of Financial Economics, 2010, 2, 251-275. (With Denis Gromb) 
    
• Price Pressure in the Government Bond Market, American Economic Review, P&P, 2010, 585-590. (With Robin Greenwood) 
     
• A Model of Financial Market Liquidity Based on Intermediary Capital, Journal of the European Economic Association, P&P, 2010, 456-466. (With Denis Gromb) 
     
• The Gambler's and Hot-Hand Fallacies: Theory and Applications, Review of Economic Studies, 2010, 77, 730-778. (With Matthew Rabin) 
    
• Strong-Form Efficiency with Monopolistic Insiders, Review of Financial Studies, 2008, 21, 2275-2306. (With Minh Chau)
  
  
• A Search-Based Theory of the On-the-Run Phenomenon, Journal of Finance, 2008, 63, 1361-1398. (With Pierre-Olivier Weill) Appendix 
    
• Search and Endogenous Concentration of Liquidity in Asset Markets, Journal of Economic Theory, 2007, 136, 66-104. (With Tan Wang) 
     
• Persuasion Bias, Social Influence, and Uni-Dimensional Opinions, Quarterly Journal of Economics, 2003, 118, 909-968. (With Peter DeMarzo and Jeff Zwiebel) 
     
• The Decentralization of Information Processing in the Presence of Interactions, Review of Economic Studies, 2003, 70, 667-695. Appendix
  
  
• Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs, Journal of Financial Economics, 2002, 66, 361-407. (With Denis Gromb) 
     
• Strategic Trading in a Dynamic Noisy Market, Journal of Finance, 2001, 56, 131-171. Appendix
  
  
• Equilibrium Interest Rate and Liquidity Premium With Transaction Costs, Economic Theory, 1999, 13, 509-539. (With Jean-Luc Vila)
  
  
• Strategic Trading and Welfare in a Dynamic Market, Review of Economic Studies, 1999, 66, 219-254.
  
  
• Transaction Costs and Asset Prices: A Dynamic Equilibrium Model, Review of Financial Studies, 1998, 11, 1-58.

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM423  Asset Markets
  Current students click here for course information
  
  
• FM502 Theories of Finance
  Current students click here for course information

Other webpages

• Financial Markets Group The Paul Woolley Centre for the Study of Capital Market Dysfunctionality