Dimitri Vayanos

London School of Economics

Professor of Finance

A350

Houghton Street

London WC2A 2AE

United Kingdom

Center for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 5,455

in Total Papers Downloads

6,139

CITATIONS
Rank 943

SSRN RANKINGS

Top 943

in Total Papers Citations

568

Scholarly Papers (30)

1.

Persuasion Bias, Social Influence, and Uni-Dimensional Opinions

MIT Sloan Working Paper No. 4339-01; Stanford University Graduate School of Business Research Paper No. 1719
Number of pages: 56 Posted: 11 Dec 2001
Peter M. DeMarzo, Jeffrey Zwiebel and Dimitri Vayanos
Stanford Graduate School of Business, Stanford Graduate School of Business and London School of Economics
Downloads 753 (16,869)
Citation 50

Abstract:

Persuasion, Social Influence, Uni-Dimensional Opinions, Social Networks, Belief Formation, Bounded Rationality, Hierarchies, Communication

The Gambler's and Hot-Hand Fallacies: Theory and Applications

AFA 2010 Atlanta Meetings Paper
Number of pages: 66 Posted: 03 Jan 2007 Last Revised: 19 Oct 2009
Matthew Rabin and Dimitri Vayanos
University of California, Berkeley - Department of Economics and London School of Economics
Downloads 694 (27,196)
Citation 10

Abstract:

Gambler's fallacy, Hot-hand fallacy, Dynamic inference, Behavioral Finance

The Gambler's and Hot-Hand Fallacies: Theory and Applications

CEPR Discussion Paper No. 6081
Number of pages: 66 Posted: 02 Aug 2007
Matthew Rabin and Dimitri Vayanos
University of California, Berkeley - Department of Economics and London School of Economics
Downloads 6 (517,873)
Citation 10

Abstract:

Behavioural finance, gambler's fallacy, hot-hand fallacy

3.
Downloads 496 ( 43,211)
Citation 47

Bond Supply and Excess Bond Returns

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 11 Sep 2007 Last Revised: 12 Jan 2010
Robin M. Greenwood and Dimitri Vayanos
Harvard Business School - Finance Unit and London School of Economics
Downloads 468 (45,943)
Citation 47

Abstract:

Term Structure of Interest Rates, Bond Risk Premia, Limited Arbitrage, Public Debt Management

Bond Supply and Excess Bond Returns

NBER Working Paper No. w13806
Number of pages: 46 Posted: 13 Feb 2008
Robin M. Greenwood and Dimitri Vayanos
Harvard Business School - Finance Unit and London School of Economics
Downloads 27 (401,723)
Citation 47

Abstract:

Bond Supply and Excess Bond Returns

CEPR Discussion Paper No. DP6694
Number of pages: 47 Posted: 09 Jun 2008
Robin M. Greenwood and Dimitri Vayanos
Harvard Business School - Finance Unit and London School of Economics
Downloads 1 (549,135)
Citation 47

Abstract:

bond prices, limited arbitrage, preferred habitat, return predictability

4.
Downloads 473 ( 45,862)
Citation 8

Liquidity and Asset Prices: A Unified Framework

Number of pages: 91 Posted: 29 Jul 2009 Last Revised: 11 Mar 2010
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 443 (49,241)
Citation 8

Abstract:

liquidity, asset prices, market imperfections

Liquidity and Asset Prices: A Unified Framework

NBER Working Paper No. w15215
Number of pages: 47 Posted: 18 Aug 2009
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 27 (401,723)
Citation 8

Abstract:

Liquidity and Asset Prices: A Unified Framework

CEPR Discussion Paper No. DP7410
Number of pages: 48 Posted: 08 Sep 2009
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3 (533,192)
Citation 8

Abstract:

Asset prices, Liquidity, Market imperfections

5.
Downloads 450 ( 48,826)
Citation 30

Limits of Arbitrage: The State of the Theory

Number of pages: 34 Posted: 11 Mar 2010 Last Revised: 19 Apr 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 227 (105,522)
Citation 30

Abstract:

limits of arbitrage, market anomalies, liquidity, financial constraints, financial institutions, survey

Limits of Arbitrage: The State of the Theory

INSEAD Working Paper No. 2010/23/FIN
Number of pages: 34 Posted: 05 Apr 2010 Last Revised: 20 Apr 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 171 (138,625)
Citation 30

Abstract:

Limits of Arbitrage, Market Anomalies, Liquidity, Financial Constraints, Financial Institutions, Survey

Limits of Arbitrage: The State of the Theory

NBER Working Paper No. w15821
Number of pages: 34 Posted: 22 Mar 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 47 (326,425)
Citation 30

Abstract:

Limits of Arbitrage: The State of the Theory

CEPR Discussion Paper No. DP7738
Number of pages: 35 Posted: 17 Mar 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 5 (522,978)
Citation 30

Abstract:

financial constraints, financial institutions, limits of arbitrage, liquidity, market anomalies, survey

Asset Management Contracts and Equilibrium Prices

Boston U. School of Management Research Paper No. 2492529
Number of pages: 64 Posted: 08 Sep 2014 Last Revised: 05 Oct 2014
Andrea M. Buffa, Dimitri Vayanos and Paul Woolley
Boston University, London School of Economics and London School of Economics
Downloads 430 (51,094)

Abstract:

Asset Management Contracts and Equilibrium Prices

NBER Working Paper No. w20480
Number of pages: 65 Posted: 15 Sep 2014
Andrea M. Buffa, Dimitri Vayanos and Paul Woolley
Boston University, London School of Economics and London School of Economics
Downloads 12 (485,121)

Abstract:

Asset Management Contracts and Equilibrium Prices

CEPR Discussion Paper No. DP10152
Number of pages: 67 Posted: 25 Sep 2014
Andrea M. Buffa, Dimitri Vayanos and Paul Woolley
Boston University, London School of Economics and London School of Economics
Downloads 1 (549,135)

Abstract:

asset pricing, delegated portfolio management, market anomalies, optimal contracts

7.
Downloads 409 ( 54,854)
Citation 34

An Institutional Theory of Momentum and Reversal

AFA 2010 Atlanta Meetings Paper
Number of pages: 79 Posted: 23 Nov 2008 Last Revised: 10 Aug 2010
Dimitri Vayanos and Paul Woolley
London School of Economics and London School of Economics
Downloads 349 (65,622)
Citation 34

Abstract:

asset pricing, delegated portfolio management, momentum, reversal

An Institutional Theory of Momentum and Reversal

NBER Working Paper No. w14523
Number of pages: 80 Posted: 09 Dec 2008
Dimitri Vayanos and Paul Woolley
London School of Economics and London School of Economics
Downloads 57 (297,829)
Citation 34

Abstract:

An Institutional Theory of Momentum and Reversal

CEPR Discussion Paper No. DP7068
Number of pages: 76 Posted: 18 Dec 2008
Dimitri Vayanos and Paul Woolley
London School of Economics and London School of Economics
Downloads 3 (533,192)
Citation 34

Abstract:

delegated portfolio management, limits to arbitrage, momentum, reversal

A Preferred-Habitat Model of the Term Structure of Interest Rates

AFA 2008 New Orleans Meetings Paper
Number of pages: 58 Posted: 22 Mar 2007 Last Revised: 02 Nov 2009
Dimitri Vayanos and Jean-Luc Vila
London School of Economics and Merrill Lynch & Co.
Downloads 358 (63,678)
Citation 55

Abstract:

Term structure of interest rates, preferred habitat, limited arbitrage, bond risk premia, carry trades

A Preferred-Habitat Model of the Term Structure of Interest Rates

NBER Working Paper No. w15487
Number of pages: 59 Posted: 09 Nov 2009
Dimitri Vayanos and Jean-Luc Vila
London School of Economics and Merrill Lynch & Co.
Downloads 22 (428,336)
Citation 55

Abstract:

A Preferred-Habitat Model of the Term Structure of Interest Rates

CEPR Discussion Paper No. DP7547
Number of pages: 61 Posted: 17 Nov 2009
Dimitri Vayanos and Jean-Luc Vila
London School of Economics and Merrill Lynch & Co.
Downloads 1 (549,135)
Citation 55

Abstract:

Bond risk premia, Carry trades, Limited arbitrage, Preferred habitat, Term structure of interest rates

The Sovereign-Bank Diabolic Loop and Esbies

American Economic Review, Vol. 6, No. 5, May 2016, HEC Paris Research Paper No. FIN-2016-1133, Columbia Business School Research Paper No. 16-12
Number of pages: 14 Posted: 25 Jan 2016 Last Revised: 14 Jun 2016
Princeton University - Department of Economics, University of Chicago - Booth School of Business - Economics, Trinity College (Dublin) - Department of Economics, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), Columbia Business School, MIT Sloan, New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 247 (97,114)

Abstract:

diabolic loop, sovereign debt crisis, government default, bank default, bailout, ESBies

The Sovereign-Bank Diabolic Loop and Esbies

NBER Working Paper No. w21993
Number of pages: 16 Posted: 15 Feb 2016
Princeton University - Department of Economics, University of Chicago - Booth School of Business - Economics, Trinity College (Dublin) - Department of Economics, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), Columbia Business School, MIT Sloan, New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 12 (485,121)

Abstract:

The Sovereign-Bank Diabolic Loop and ESBies

CEPR Discussion Paper No. DP11317
Number of pages: 17 Posted: 13 Jun 2016
Princeton University - Department of Economics, University of Chicago - Booth School of Business - Economics, Trinity College (Dublin) - Department of Economics, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), Columbia University, MIT Sloan, New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 1 (549,135)

Abstract:

bailout, bank default, diabolic loop, ESBies, government default, sovereign debt crisis

10.

Flight to Quality, Flight to Liquidity, and the Pricing of Risk

NBER Working Paper No. w10327
Number of pages: 55 Posted: 09 Mar 2004
Dimitri Vayanos
London School of Economics
Downloads 252 (86,646)
Citation 95

Abstract:

11.
Downloads 243 ( 98,852)
Citation 50

A Search-Based Theory of the On-the-Run Phenomenon

AFA 2006 Boston Meetings Paper
Number of pages: 71 Posted: 11 Mar 2005
Pierre-Olivier Weill and Dimitri Vayanos
University of California, Los Angeles and London School of Economics
Downloads 173 (137,187)
Citation 50

Abstract:

On-the-run bonds, liquidity, specialness, search, arbitrage

A Search-Based Theory of the On-the-Run Phenomenon

NYU Working Paper No. FIN-05-016
Number of pages: 72 Posted: 03 Nov 2008
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 39 (352,478)
Citation 50

Abstract:

A Search-Based Theory of the On-the-Run Phenomenon

NBER Working Paper No. w12670
Number of pages: 65 Posted: 06 Dec 2006
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 17 (456,686)
Citation 50

Abstract:

A Search-Based Theory of the On-the-Run Phenomenon

CEPR Discussion Paper No. 5965
Number of pages: 67 Posted: 05 Jan 2007
Pierre-Olivier Weill and Dimitri Vayanos
University of California, Los Angeles and London School of Economics
Downloads 14 (473,763)
Citation 50

Abstract:

Search, liquidity, asset pricing, on-the-run bonds

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

AFA 2002 Atlanta Meetings
Number of pages: 51 Posted: 12 Oct 2001
Denis Gromb and Dimitri Vayanos
London Business School and London School of Economics
Downloads 176 (135,011)
Citation 157

Abstract:

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

CEPR Discussion Paper No. 3049
Number of pages: 53 Posted: 21 Nov 2001
Denis Gromb and Dimitri Vayanos
London Business School and London School of Economics
Downloads 25 (412,049)
Citation 157

Abstract:

Arbitrage, borrowing constraints, collateral, liquidity, welfare

13.
Downloads 198 (121,139)
Citation 5

Strong-Form Efficiency with Monopolistic Insiders

EFA 2001 Barcelona Meetings
Number of pages: 28 Posted: 11 Jul 2001
Minh Chau and Dimitri Vayanos
ESSEC Business School - Finance Department and London School of Economics
Downloads 198 (120,863)
Citation 5

Abstract:

Market efficiency, strategic trading, insiders

Strong-Form Efficiency with Monopolistic Insiders

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2275-2306, 2008
Posted: 19 Sep 2008
Minh Chau and Dimitri Vayanos
ESSEC Business School - Finance Department and London School of Economics

Abstract:

D82, G14

14.

Reforms or Bankruptcy?

Kathimerini, June 26, 2011
Number of pages: 3 Posted: 30 Jun 2011
Federal Reserve Banks - Federal Reserve Bank of Saint Louis, affiliation not provided to SSRN, University of Macedonia, University of Bern - Department of Economics, New York University - Leonard N. Stern School of Business - Department of Economics, Goethe University Frankfurt - House of Finance, Athens University of Economics and Business, Tufts University, Universite du Luxembourg - Faculty of Law, Economics and Finance, Yale University, Concordia University, Quebec - John Molson School of Business, University of Crete - Department of Economics, London School of Economics & Political Science (LSE), University College London, University of Guelph - Department of Economics, Athens Laboratory of Business Administration (ALBA), London School of Economics, Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business
Downloads 149 (145,387)

Abstract:

Greece, reforms, bankruptcy, restructuring, privatization

15.

Preferred Habitat and the Optimal Maturity Structure of Government Debt

Number of pages: 31 Posted: 28 Feb 2008
Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos
SciencesPo - Department of Economics, London School of Economics and London School of Economics
Downloads 147 (153,557)
Citation 5

Abstract:

Government debt, Maturity structure, Intergenerational risksharing

16.

A Model of Financial Market Liquidity Based on Intermediary Capital

INSEAD Working Paper No. 2010/22/FIN
Number of pages: 15 Posted: 05 Apr 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 69 (255,836)
Citation 6

Abstract:

17.
Downloads 57 (293,712)

ESBies: Safety in the Tranches

CFS WP No. 537
Number of pages: 55 Posted: 06 Oct 2016
Princeton University - Department of Economics, European Central Bank - European Systemic Risk Board Secretariat, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 32 (379,195)

Abstract:

ESBies: Safety in the Tranches

Prepared for the 64th Panel Meeting of Economic Policy, 14-15 October 2016
Number of pages: 52 Posted: 21 Sep 2016
Princeton University - Department of Economics, European Central Bank - European Systemic Risk Board Secretariat, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 25 (412,049)

Abstract:

ESBies, safe assets, sovereign debt, default, sovereign exposures, diabolic loop, tranching, pooling

ESBies: Safety in the Tranches

CEPR Discussion Paper No. DP11537
Number of pages: 55 Posted: 03 Oct 2016
Princeton University - Department of Economics, European Central Bank - European Systemic Risk Board Secretariat, University of Naples Federico II - Department of Economics and Statistics, London School of Economics & Political Science (LSE), New York University Stern School of Business, Department of Finance and London School of Economics
Downloads 0

Abstract:

bank-sovereign loop, ESBies, Euro crisis, monetary policy, public debt issuance, safe assets

18.

Preferred - Habitat Investors and the US Term Structure of Real Rates

Bank of England Working Paper No. 435
Number of pages: 65 Posted: 28 Jul 2011
Iryna Kaminska, Dimitri Vayanos and Gabriele Zinna
Bank of England, London School of Economics and Bank of Italy
Downloads 43 (304,045)
Citation 5

Abstract:

foreign reserves, term structure of interest rates, term premium, MCMC

19.
Downloads 42 (335,863)
Citation 3

The Dynamics of Financially Constrained Arbitrage

INSEAD Working Paper No. 2015/14/FIN
Number of pages: 68 Posted: 13 Feb 2015
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 35 (367,295)
Citation 3

Abstract:

Arbitrage, Liquidity, Financial Constraints, Financial Crises

The Dynamics of Financially Constrained Arbitrage

NBER Working Paper No. w20968
Number of pages: 69 Posted: 02 Mar 2015
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 7 (512,751)
Citation 3

Abstract:

The Dynamics of Financially Constrained Arbitrage

CEPR Discussion Paper No. DP10436
Number of pages: 70 Posted: 24 Feb 2015
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics
Downloads 0
Citation 3

Abstract:

arbitrage, financial constraints, financial crises, liquidity

20.

Market Liquidity -- Theory and Empirical Evidence

NBER Working Paper No. w18251
Number of pages: 89 Posted: 28 Jul 2012
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 27 (338,990)
Citation 1

Abstract:

21.
Downloads 15 (450,419)

The Analytics of the Greek Crisis

NBER Working Paper No. w22370
Number of pages: 72 Posted: 27 Jun 2016
University of California, Berkeley - Department of Economics, New York University (NYU) - Department of Finance and London School of Economics
Downloads 14 (473,763)

Abstract:

The Analytics of the Greek Crisis

CEPR Discussion Paper No. DP11334
Number of pages: 74 Posted: 20 Jun 2016
University of California, Berkeley - Department of Economics, New York University (NYU) - Department of Finance and London School of Economics
Downloads 1 (549,135)

Abstract:

bank-sovereign loop, DSGE model, fiscal contraction, Greek crisis, price rigidities, sovereign default, sudden stop

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

NBER Working Paper No. w18922
Number of pages: 64 Posted: 29 Mar 2013
Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos
SciencesPo - Department of Economics, London School of Economics and London School of Economics
Downloads 7 (512,751)
Citation 1

Abstract:

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

CEPR Discussion Paper No. DP9407
Number of pages: 66 Posted: 03 Apr 2013
Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos
SciencesPo - Department of Economics, London School of Economics and London School of Economics
Downloads 4 (528,076)
Citation 1

Abstract:

clientele effects, debt management, government debt, interest rates, preferred habitat

Liquidity Risk and the Dynamics of Arbitrage Capital

NBER Working Paper No. w19931
Number of pages: 64 Posted: 24 Feb 2014
Peter Kondor and Dimitri Vayanos
London School of Economics & Political Science (LSE) and London School of Economics
Downloads 9 (501,898)

Abstract:

Liquidity Risk and the Dynamics of Arbitrage Capital

CEPR Discussion Paper No. DP9885
Number of pages: 65 Posted: 02 Jun 2014
Peter Kondor and Dimitri Vayanos
London School of Economics & Political Science (LSE) and London School of Economics
Downloads 1 (549,135)

Abstract:

Arbitrage capital, Asset pricing, Liquidity, Liquidity risk, Risk-sharing

Financial Markets Where Traders Neglect the Informational Content of Prices

NBER Working Paper No. w21224
Number of pages: 73 Posted: 01 Jun 2015
Erik Eyster, Matthew Rabin and Dimitri Vayanos
London School of Economics & Political Science (LSE) - Department of Economics, University of California, Berkeley - Department of Economics and London School of Economics
Downloads 7 (512,751)

Abstract:

Financial Markets Where Traders Neglect the Informational Content of Prices

CEPR Discussion Paper No. DP10629
Number of pages: 74 Posted: 01 Jun 2015
Erik Eyster, Matthew Rabin and Dimitri Vayanos
London School of Economics & Political Science (LSE) - Department of Economics, University of California, Berkeley - Department of Economics and London School of Economics
Downloads 0

Abstract:

behavioral finance, cursedness, financial markets, overconfidence, return predictability, trading volume

25.

Quantitative Easing and Unconventional Monetary Policy – An Introduction

The Economic Journal, Vol. 122, Issue 564, pp. F271-F288, 2012
Number of pages: 18 Posted: 30 Oct 2012
Michael Joyce, David Miles, Andrew Scott and Dimitri Vayanos
Bank of England - Monetary Analysis, Imperial College Business School, London School of Economics - Law Department and London School of Economics
Downloads 1 (521,869)
Citation 1

Abstract:

26.

Forward Guidance in the Yield Curve: Short Rates Versus Bond Supply

NBER Working Paper No. w21750
Number of pages: 49 Posted: 21 Dec 2015
Harvard Business School - Finance Unit, Harvard Business School and London School of Economics
Downloads 0 (470,794)

Abstract:

27.

Theories of Liquidity

Foundations and Trends in Finance, Vol. 6, No. 4, 2011
Number of pages: 111 Posted: 23 May 2013
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (531,832)
Citation 3

Abstract:

liquidity, market imperfections, asymmetric information, market microstructure

28.

Limits of Arbitrage

Annual Review of Financial Economics, Vol. 2, pp. 251-275, 2010
Posted: 12 Nov 2010
Denis Gromb and Dimitri Vayanos
INSEAD and London School of Economics

Abstract:

29.

Equilibrium Interest Rate and Liquidity Premium with Transaction Costs

Economic Theory, Vol. 13, Issue 3, 1999
Posted: 23 Apr 1999
Jean-Luc Vila and Dimitri Vayanos
Convergence Asset Management and London School of Economics

Abstract:

30.

Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs

Posted: 19 Apr 1999
Jean-Luc Vila and Dimitri Vayanos
Convergence Asset Management and London School of Economics

Abstract: