NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Dimitri Vayanos

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

February 2014Liquidity Risk and the Dynamics of Arbitrage Capital
with Péter Kondor: w19931
March 2013Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
with Stéphane Guibaud, Yves Nosbusch: w18922

Published: Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961. citation courtesy of

July 2012Market Liquidity — Theory and Empirical Evidence
with Jiang Wang: w18251
March 2010Limits of Arbitrage: The State of the Theory
with Denis Gromb: w15821

Published: Limits of Arbitrage: The State of the Theory, Annual Review of Financial Economics, 2010, 2, 251-275. (With Denis Gromb)

November 2009A Preferred-Habitat Model of the Term Structure of Interest Rates
with Jean-Luc Vila: w15487
August 2009Liquidity and Asset Prices: A Unified Framework
with Jiang Wang: w15215

Published: Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, Review of Financial Studies, 2012, 25, 1339-1365. (With Jiang Wang) Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework.

December 2008An Institutional Theory of Momentum and Reversal
with Paul Woolley: w14523

Published: Dimitri Vayanos & Paul Woolley, 2013. "An Institutional Theory of Momentum and Reversal," Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145. citation courtesy of

February 2008Bond Supply and Excess Bond Returns
with Robin Greenwood: w13806
November 2006A Search-Based Theory of the On-the-Run Phenomenon
with Pierre-Olivier Weill: w12670

Published: Dimitri Vayanos & Pierre-Olivier Weill, 2008. "A Search-Based Theory of the On-the-Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, 06. citation courtesy of

February 2004Flight to Quality, Flight to Liquidity, and the Pricing of Risk
w10327

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us