Dimitri Vayanos

London School of Economics

Professor of Finance

A350

Houghton Street

London WC2A 2AE

United Kingdom

Center for Economic Policy Research (CEPR)

London

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • London School of Economics

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SCHOLARLY PAPERS

37

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3,569

CROSSREF CITATIONS

2,219

Scholarly Papers (37)

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1.

Passive Investing and the Rise of Mega-Firms

Downloads 2,199 (13,647)

Passive Investing and the Rise of Mega-Firms

Number of pages: 65 Posted: 03 Jun 2024
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University - Eli Broad College of Business, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 1,083 (39,236)

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Passive investing, fund flows, asset pricing, size distribution of firms

Passive Investing and the Rise of Mega-Firms

Number of pages: 64 Posted: 20 Jan 2021 Last Revised: 05 Oct 2022
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University - Eli Broad College of Business, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 937 (47,982)

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passive investing, fund flows, asset pricing, size distribution of firms

Passive Investing and the Rise of Mega-Firms

NBER Working Paper No. w28253
Number of pages: 66 Posted: 14 Mar 2021 Last Revised: 13 Mar 2023
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University - Eli Broad College of Business, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 168 (338,511)

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Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

CEPR Discussion Paper No. DP15563
Number of pages: 61 Posted: 23 Dec 2020
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University - Eli Broad College of Business, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 11 (1,116,755)
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2.

Persuasion Bias, Social Influence, and Uni-Dimensional Opinions

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 1,122 (37,716)
Citation 132

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

3.

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

Downloads 908 (50,852)
Citation 90

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 902 (50,575)
Citation 4

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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 (1,173,888)
Citation 26
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Behavioural finance, gambler's fallacy, hot-hand fallacy

4.

Asset Management Contracts and Equilibrium Prices

Downloads 800 (60,516)
Citation 33

Asset Management Contracts and Equilibrium Prices

Boston University Questrom School of Business Research Paper No. 2492529
Number of pages: 94 Posted: 08 Sep 2014 Last Revised: 30 Jun 2022
Andrea M Buffa, Dimitri Vayanos and Paul Woolley
University of Colorado at Boulder - Leeds School of Business, London School of Economics and London School of Economics & Political Science (LSE)
Downloads 752 (64,686)
Citation 1

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Asset Management Contracts and Equilibrium Prices

NBER Working Paper No. w20480
Number of pages: 78 Posted: 15 Sep 2014 Last Revised: 18 Jun 2023
Andrea M Buffa, Dimitri Vayanos and Paul Woolley
University of Colorado at Boulder - Leeds School of Business, London School of Economics and London School of Economics & Political Science (LSE)
Downloads 47 (772,526)
Citation 31

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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
University of Colorado at Boulder - Leeds School of Business, London School of Economics and London School of Economics & Political Science (LSE)
Downloads 1 (1,235,088)
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asset pricing, delegated portfolio management, market anomalies, optimal contracts

5.

The Sovereign-Bank Diabolic Loop and Esbies

Downloads 728 (68,449)
Citation 108

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
Markus K. Brunnermeier, Luis Garicano, Luis Garicano, Philip R. Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, Centre for Economic Policy Research (CEPR)IE Business School, Trinity College (Dublin) - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University Graduate School of Business and London School of Economics
Downloads 658 (76,862)
Citation 9

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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 Last Revised: 04 Feb 2023
Markus K. Brunnermeier, Luis Garicano, Luis Garicano, Philip R. Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, Centre for Economic Policy Research (CEPR)IE Business School, Trinity College (Dublin) - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University Graduate School of Business and London School of Economics
Downloads 69 (641,341)
Citation 45

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The Sovereign-Bank Diabolic Loop and ESBies

CEPR Discussion Paper No. DP11317
Number of pages: 17 Posted: 13 Jun 2016
Markus K. Brunnermeier, Luis Garicano, Luis Garicano, Philip R. Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, Centre for Economic Policy Research (CEPR)IE Business School, Trinity College (Dublin) - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia University, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University Graduate School of Business and London School of Economics
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Citation 31
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bailout, bank default, diabolic loop, ESBies, government default, sovereign debt crisis

6.

Limits of Arbitrage: The State of the Theory

Downloads 677 (75,185)
Citation 209

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
HEC Paris and London School of Economics
Downloads 349 (164,607)
Citation 2

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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
HEC Paris and London School of Economics
Downloads 247 (236,149)
Citation 4

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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 Last Revised: 26 Mar 2023
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
Downloads 76 (607,063)
Citation 6

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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
HEC Paris and London School of Economics
Downloads 5 (1,185,328)
Citation 35
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financial constraints, financial institutions, limits of arbitrage, liquidity, market anomalies, survey

7.

Bond Supply and Excess Bond Returns

Downloads 664 (77,044)
Citation 251

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 586 (89,053)
Citation 18

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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 Last Revised: 23 Sep 2022
Robin M. Greenwood and Dimitri Vayanos
Harvard Business School - Finance Unit and London School of Economics
Downloads 77 (602,443)
Citation 14

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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 (1,235,088)
Citation 46
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bond prices, limited arbitrage, preferred habitat, return predictability

8.

An Institutional Theory of Momentum and Reversal

Downloads 576 (92,111)
Citation 159

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 & Political Science (LSE)
Downloads 450 (123,116)
Citation 12

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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 Last Revised: 08 Sep 2022
Dimitri Vayanos and Paul Woolley
London School of Economics and London School of Economics & Political Science (LSE)
Downloads 122 (439,420)
Citation 11

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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 & Political Science (LSE)
Downloads 4 (1,196,977)
Citation 22
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delegated portfolio management, limits to arbitrage, momentum, reversal

9.

Liquidity and Asset Prices: A Unified Framework

Downloads 554 (96,777)
Citation 2

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 493 (110,440)

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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 Last Revised: 28 Jan 2023
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 58 (701,883)
Citation 1

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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 (1,208,928)
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Asset prices, Liquidity, Market imperfections

10.

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

Downloads 504 (108,770)
Citation 176

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 446 (124,430)
Citation 4

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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 Last Revised: 27 Apr 2023
Dimitri Vayanos and Jean-Luc Vila
London School of Economics and Merrill Lynch & Co.
Downloads 57 (707,694)
Citation 13

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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 (1,235,088)
Citation 10
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Bond risk premia, Carry trades, Limited arbitrage, Preferred habitat, Term structure of interest rates

11.

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

NBER Working Paper No. w10327
Number of pages: 55 Posted: 09 Mar 2004 Last Revised: 21 Sep 2022
Dimitri Vayanos
London School of Economics
Downloads 353 (163,955)

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12.

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

Downloads 319 (182,679)
Citation 166

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 213 (272,421)
Citation 2

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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 59 (696,170)

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

NBER Working Paper No. w12670
Number of pages: 65 Posted: 06 Dec 2006 Last Revised: 15 Aug 2022
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 33 (883,532)
Citation 27

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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 (1,082,134)
Citation 7
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Search, liquidity, asset pricing, on-the-run bonds

13.

Strong-Form Efficiency with Monopolistic Insiders

Downloads 277 (211,819)
Citation 12

Strong-Form Efficiency with Monopolistic Insiders

Number of pages: 28 Posted: 11 Jul 2001
Minh Chau and Dimitri Vayanos
ESSEC Business School - Finance Department and London School of Economics
Downloads 277 (210,502)
Citation 12

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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

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D82, G14

14.

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Downloads 253 (233,681)
Citation 493

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Number of pages: 51 Posted: 12 Oct 2001
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
Downloads 228 (257,729)
Citation 3

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Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Number of pages: 53 Posted: 21 Nov 2001
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
Downloads 25 (959,552)
Citation 195
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Arbitrage, borrowing constraints, collateral, liquidity, welfare

15.

Reforms or Bankruptcy?

Kathimerini, June 26, 2011
Number of pages: 3 Posted: 30 Jun 2011
Costas Azariadis, George Constantinides, Christos Constantatos, Harris Dellas, Nicholas Economides, Michael Haliassos, Panos Hatzipanayotou, Yannis M. Ioannides, Christos Koulovatianos, Costas Meghir, Stylianos Perrakis, Emmanuel Petrakis, Christopher A. Pissarides, Vasiliki Skreta, Thanasis Stengos, Haridimos Tsoukas, Dimitri Vayanos, Nikolaos Vettas and Anastasios Xepapadeas
Federal Reserve Banks - Federal Reserve Bank of St. 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 - Faculty of Economics and Business Administration, Athens University of Economics and Business, Tufts University, Department of Finance, University of Luxembourg, Yale University, Concordia University, Quebec - John Molson School of Business, University of Crete - Department of Economics, London School of Economics & Political Science (LSE), University of Texas at Austin - Department of Economics, 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 249 (235,486)

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Greece, reforms, bankruptcy, restructuring, privatization

16.

ESBies: Safety in the Tranches

Downloads 237 (247,240)
Citation 13

ESBies: Safety in the Tranches

CFS Working Paper, No. 537
Number of pages: 55 Posted: 06 Oct 2016 Last Revised: 11 Jan 2018
Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, European Central Bank, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia University Graduate School of Business and London School of Economics
Downloads 128 (423,207)
Citation 17

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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
Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, European Central Bank, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia University Graduate School of Business and London School of Economics
Downloads 109 (478,810)
Citation 2

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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
Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, European Central Bank, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia University Graduate School of Business and London School of Economics
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bank-sovereign loop, ESBies, Euro crisis, monetary policy, public debt issuance, safe assets

17.

Long-Horizon Investing in a Non-CAPM World

Number of pages: 128 Posted: 05 May 2022
Christopher Polk, Dimitri Vayanos and Paul Woolley
London School of Economics, London School of Economics and London School of Economics & Political Science (LSE)
Downloads 235 (249,230)
Citation 2

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Market efficiency, asset pricing, fund flows, value and momentum, limits of arbitrage, long-horizon investing

18.

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 & Political Science (LSE) and London School of Economics
Downloads 227 (257,688)
Citation 10

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Government debt, Maturity structure, Intergenerational risksharing

19.

Market Liquidity -- Theory and Empirical Evidence

NBER Working Paper No. w18251
Number of pages: 89 Posted: 28 Jul 2012 Last Revised: 15 May 2023
Dimitri Vayanos and Jiang Wang
London School of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 179 (320,200)
Citation 13

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20.

Financial Markets Where Traders Neglect the Informational Content of Prices

Downloads 177 (323,404)
Citation 60

Financial Markets Where Traders Neglect the Informational Content of Prices

Journal of Finance, Forthcoming
Number of pages: 74 Posted: 15 Feb 2018
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 146 (381,109)
Citation 1

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behavioral finance, asymmetric information, trading volume, cursedness, overconfidence

Financial Markets Where Traders Neglect the Informational Content of Prices

NBER Working Paper No. w21224
Number of pages: 73 Posted: 01 Jun 2015 Last Revised: 30 Jun 2023
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 31 (901,627)
Citation 39

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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
Citation 14
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behavioral finance, cursedness, financial markets, overconfidence, return predictability, trading volume

21.

The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

Downloads 175 (326,747)
Citation 1

The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

Number of pages: 42 Posted: 12 Apr 2021
Gikas A. Hardouvelis, Georgios Karalas and Dimitri Vayanos
University of Piraeus, University Carlos III of Madrid and London School of Economics
Downloads 159 (354,923)
Citation 1

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Differences of opinion, polarization, stock ownership, return predictability

The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

NBER Working Paper No. w28697
Number of pages: 43 Posted: 19 Apr 2021 Last Revised: 31 May 2023
Gikas A. Hardouvelis, Georgios Karalas and Dimitri Vayanos
University of Piraeus, University Carlos III of Madrid and London School of Economics
Downloads 16 (1,058,809)

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The Distribution of Investor Beliefs, Stock Ownership and Stock Returns

CEPR Discussion Paper No. DP16029
Number of pages: 45 Posted: 14 May 2021
Gikas A. Hardouvelis, Georgios Karalas and Dimitri Vayanos
University of Piraeus, University Carlos III of Madrid and London School of Economics
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22.

The Dynamics of Financially Constrained Arbitrage

Journal of Finance, Forthcoming
Number of pages: 77 Posted: 23 Aug 2017
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
Downloads 132 (412,011)

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Arbitrage, financial constraints, market segmentation, liquidity, contagion

23.

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 - Research Department
Downloads 128 (421,833)
Citation 13

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

24.

The Dynamics of Financially Constrained Arbitrage

Downloads 123 (437,624)
Citation 55

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
HEC Paris and London School of Economics
Downloads 91 (546,993)

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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 Last Revised: 17 Apr 2023
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
Downloads 32 (892,418)
Citation 46

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The Dynamics of Financially Constrained Arbitrage

CEPR Discussion Paper No. DP10436
Number of pages: 70 Posted: 24 Feb 2015
Denis Gromb and Dimitri Vayanos
HEC Paris and London School of Economics
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arbitrage, financial constraints, financial crises, liquidity

25.

Liquidity Risk and the Dynamics of Arbitrage Capital

Downloads 123 (434,828)
Citation 36

Liquidity Risk and the Dynamics of Arbitrage Capital

Journal of Finance, Forthcoming
Number of pages: 112 Posted: 16 Apr 2018
Peter Kondor, Peter Kondor and Dimitri Vayanos
London School of Economics & Political Science (LSE)Central European University (CEU) and London School of Economics
Downloads 82 (580,185)

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Liquidity risk, wealth effects, heterogeneous agents, intermediary asset pricing, endogenous risk

Liquidity Risk and the Dynamics of Arbitrage Capital

NBER Working Paper No. w19931
Number of pages: 103 Posted: 24 Feb 2014 Last Revised: 18 Jun 2023
Peter Kondor, Peter Kondor and Dimitri Vayanos
London School of Economics & Political Science (LSE)Central European University (CEU) and London School of Economics
Downloads 40 (824,832)
Citation 1

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Liquidity Risk and the Dynamics of Arbitrage Capital

CEPR Discussion Paper No. DP9885
Number of pages: 65 Posted: 02 Jun 2014
Peter Kondor, Peter Kondor and Dimitri Vayanos
London School of Economics & Political Science (LSE)Central European University (CEU) and London School of Economics
Downloads 1 (1,235,088)
Citation 15
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Arbitrage capital, Asset pricing, Liquidity, Liquidity risk, Risk-sharing

26.

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
HEC Paris and London School of Economics
Downloads 116 (454,451)
Citation 20

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27.

ESBies: Safety in the Tranches

ESRB: Working Paper Series No. 2016/21
Number of pages: 54 Posted: 05 Nov 2020
Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos
Princeton University - Department of Economics, European Central Bank, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF), London School of Economics & Political Science (LSE), Columbia University Graduate School of Business and London School of Economics
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Citation 29

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European Safe Bonds, safe assets, sovereign risk

28.

The Analytics of the Greek Crisis

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Citation 34

The Analytics of the Greek Crisis

NBER Working Paper No. w22370
Number of pages: 72 Posted: 27 Jun 2016 Last Revised: 15 Feb 2023
Pierre-Olivier Gourinchas, Thomas Philippon and Dimitri Vayanos
University of California, Berkeley - Department of Economics, New York University (NYU) - Department of Finance and London School of Economics
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Citation 26

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The Analytics of the Greek Crisis

CEPR Discussion Paper No. DP11334
Number of pages: 74 Posted: 20 Jun 2016
Pierre-Olivier Gourinchas, Thomas Philippon and Dimitri Vayanos
University of California, Berkeley - Department of Economics, New York University (NYU) - Department of Finance and London School of Economics
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Citation 14
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bank-sovereign loop, DSGE model, fiscal contraction, Greek crisis, price rigidities, sovereign default, sudden stop

29.

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

NBER Working Paper No. w21750
Number of pages: 49 Posted: 21 Dec 2015 Last Revised: 07 Jun 2023
Robin M. Greenwood, Samuel Gregory Hanson and Dimitri Vayanos
Harvard Business School - Finance Unit, Harvard University - Business School (HBS) and London School of Economics
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Citation 3

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30.

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

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Citation 20

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 Last Revised: 16 Mar 2023
Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos
SciencesPo - Department of Economics, London School of Economics & Political Science (LSE) and London School of Economics
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Citation 1

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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 & Political Science (LSE) and London School of Economics
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Citation 4
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clientele effects, debt management, government debt, interest rates, preferred habitat

31.

The Impact of Green Investors on Stock Prices

NBER Working Paper No. w32317
Number of pages: 40 Posted: 15 Apr 2024
Gong Cheng, Eric Jondeau, Benoît Mojon and Dimitri Vayanos
Bank for International Settlements (BIS), University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and London School of Economics
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32.

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

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Citation 5

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

NBER Working Paper No. w29875
Number of pages: 88 Posted: 28 Mar 2022 Last Revised: 14 Apr 2023
Pierre-Olivier Gourinchas, Walker Ray and Dimitri Vayanos
University of California, Berkeley - Department of Economics, London School of Economics and London School of Economics
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A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

CEPR Discussion Paper No. DP17119
Number of pages: 78 Posted: 29 Mar 2022
Pierre-Olivier Gourinchas, Walker Ray and Dimitri Vayanos
University of California, Berkeley - Department of Economics, London School of Economics and London School of Economics
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Citation 6
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Exchange Rates, interest rates, Limits of arbitrage, monetary policy

33.

Supply and Demand and the Term Structure of Interest Rates

NBER Working Paper No. w31879
Number of pages: 49 Posted: 20 Nov 2023
Robin M. Greenwood, Samuel Gregory Hanson and Dimitri Vayanos
Harvard Business School - Finance Unit, Harvard University - Business School (HBS) and London School of Economics
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34.

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
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Citation 2
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liquidity, market imperfections, asymmetric information, market microstructure

35.

Limits of Arbitrage

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

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36.

Equilibrium Interest Rate and Liquidity Premium with Transaction Costs

Posted: 23 Apr 1999
Jean-Luc Vila and Dimitri Vayanos
Convergence Asset Management and London School of Economics

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37.

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

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