Dimitri Vayanos’s research while affiliated with London School of Economics and Political Science and other places

... For example, Greenwood and Vayanos (2014) show empirically that the price of risk increases with arbitrageurs' maturity-weighted positions; therefore quantitative easing can reduce yields, even if the face value of debt outstanding is unchanged. Other applications include quantitative easing at the ELB (Hamilton and Wu (2012), King (2019)), corporate bond purchases (Gilchrist et al. (2024)), repo market dynamics (He et al. (2023), Jappelli et al. (2023), and exchange rates (Gourinchas et al. (2022), Greenwood et al. (2023)); see Greenwood et al. (2024) for a recent survey. The ATSM structure has also been embedded into a New Keynesian model suitable for monetary policy analysis (Ray (2019)). ...

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The Term Structure of Interest Rates in a Heterogeneous Monetary Union

... On the other hand, not all investors are green and firms can also be financed by brown capital, which does not require them to decarbonize their production processes. The proportion of green investors is difficult to estimate and is a controversial issue in sustainable finance literature: Berk and Van Binsbergen [6] estimate this share to 1% while Cheng et al. [9] use the estimate of 20% in their calibration exercise. In any case, it is clear that the presence of brown investors in the market hinders the impact of green investors on the cost of capital and the environmental performance of public companies [9]. ...

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A model of strategic sustainable investment

... We begin by reviewing the rapid growth of the asset management industry and the agency frictions inherent in the relationship between managers and investors. We next describe, drawing on our previous work, how agency frictions affect equilibrium asset prices, and how they generate prime violations of EMH: the value and momentum anomalies (Vayanos & Woolley, 2013;Polk et al., 2022), and the beta and volatility anomalies, whereby risk is unrelated or is inversely related to expected return (Buffa et al., 2022). Underlying our work is that asset prices move in response to fund flows in addition to asset cash flows, and that fund flows are procyclical. ...

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Asset Management as Creator of Market Inefficiency

... In recent years, the rapid development of big data, cloud computing and other information technologies has escalated the challenges for ordinary people to invest in financial markets. More investors have thus entrusted their assets to professional investment institutions with informational and technological advantages (French, 2008;Buffa et al., 2022). Because the compensation of institutional investors is often based on performance comparison with a benchmark portfolio, the relative performance concern often leads to excessive pegging to the benchmark, thereby inflating the prices of its constituent stocks and diminishing their returns (Cuoco and Kaniel, 2011;Basak and Pavlova, 2013;Buffa et al., 2014;Pavlova and Sikorskaya, 2023). ...

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Optimal Delegation Contract with Portfolio Risk

... A recent paper, Gourinchas, Ray, Vayanos (2024), or GRV, examine PH in the context of the currency markets as well. GRV state that, "We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by arbitrageurs with limited capital." ...

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A Preferred Habitat, General Equilibrium Model for Asset Prices, Wages and Asset Allocation (and Term Structure)

... Investigation of the "actual" returns of institutional, professional, or individual investors forms a separate problem. Different aspects of "actual" returns were studied by (Schlarbaum, Lewellen and Lease, 1978;Stanley, Lewellen and Schlarbaum, 1980;Baker and Wurgler, 2004;Ivković, Sialm and Weisbenner, 2004;Gabaix, et al 2005;Daniel and Hirshleifer, 2016;Koijen, Richmond and Yogo, 2020;Hardouvelis, Karalas and Vayanos, 2021) and others. ...

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Market-Based 'Actual' Returns of Investors

... These findings are consistent with the theory that investors who can fly below the radar and therefore are less constrained by social norms are more likely to absorb the supply from tobacco divestments than other investors with public In the asset pricing model by Merton (1987), a small number of investors are associated with higher future returns, while in the model by Chen, Hong, and Stein (2002) a small number of investors predict higher future returns. Hardouvelis, Karalas, and Vayanos (2021) report that for small capitalization stocks, a wider investor base is associated with lower returns, but for large capitalization stocks a wider investor base implies higher returns. We document a larger number of investors for large capitalization tobacco stocks, which would be consistent with a premium for tobacco stocks. ...

Reference:

Who owns tobacco stocks?

... Under the PH theory, each riskaverse investor prefers their own habitat, and that provides an explanation for the term structure of the yield curve (which did not always need to be positive), and why attempts to tweak the curve via such "operations" might fail. As Vayanos and Vila (2021), hereafter VV, note, "there are investor clienteles for specific maturity segments, and the interest rate for a given maturity is mainly driven by shocks affecting the demand of the corresponding clientele. ...

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A Preferred Habitat, General Equilibrium Model for Asset Prices, Wages and Asset Allocation (and Term Structure)

... The literature describes illiquidity-related effects leading to amplifications and systemic risk in four categories: illiquidity exposures in the banking sector (Brunnermeier, & Oehmke, 2013;Lubiński, 2013), illiquidity-driven contagions in the financial markets (Shleifer, & Vishny, 1992;Brunnermeier, & Pedersen, 2009;Cespa, & Foucault 2014), illiquidity-driven crises (Shleifer, & Vishny, 1997;Gromb, & Vayanos, 2002;Cifuentes et al., 2005;Diamond, & Rajan, 2005;Brunnermeier, & Sannikov, 2014), and interbank market freezes (Flannery, 1996;Caballero, & Simsek, 2013;Acharya et al., 2011;Gorton, & Ordonez, 2014;Heider et al., 2015). ...

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Systemic turbulence and risk spillovers in IBOR rates in Europe

... Haliassos et al (2017) andLouri and Migiakis (2019) for recent studies of the evolution and the 20 current state of the financial sector in Greece. See Jacobides (2017), Kaplanoglou (2019), Karkatsoulis and Stefopoulou (2017), Lambropoulou and 21 ...

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Greece Before and After the Euro: Macroeconomics, Politics and the Quest for Reforms