Vayanos, Dimitri

Number of items: 72.
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  • Gourinchas, Pierre-Olivier, Ray, Walker, Vayanos, Dimitri (2025). Data and Code for "A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers". [Dataset]. OpenICPSR. https://doi.org/10.3886/e228661
  • (2025). Replication Data for "Passive Investing and the Rise of Mega-Firms". [Dataset]. Harvard Dataverse. https://doi.org/10.7910/dvn/yo0vl7
  • Pissarides, Christopher, Meghir, Costas, Vayanos, Dimitri, Vettas, Nikolaos (2023). A growth strategy for the Greek economy. CEPR Press.
  • Danielsson, Jon, Macrae, Robert, Vayanos, Dimitri, Zigrand, Jean-Pierre (2020). The coronavirus crisis is no 2008. VoxEU,
  • Greenwood, Robin, Vayanos, Dimitri (2014). Bond supply and excess bond returns. Review of Financial Studies, 27(3), 663 - 713. https://doi.org/10.1093/rfs/hht133
  • Allen, Franklin, Vayanos, Dimitri, Vives, Xavier (2014). Introduction to financial economics. Journal of Economic Theory, 149, 1-14. https://doi.org/10.1016/j.jet.2013.10.007
  • Guibaud, Stéphane, Nosbusch, Yves, Vayanos, Dimitri (2013). Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of Financial Studies, 26(8), 1914-1961. https://doi.org/10.1093/rfs/hht013
  • Vayanos, Dimitri, Woolley, Paul (2013). An institutional theory of momentum and reversal. Review of Financial Studies, 26(5), 1087-1145. https://doi.org/10.1093/rfs/hht014
  • Vayanos, Dimitri, Wang, Jiang (2013). Market liquidity: theory and empirical evidence. In Constantinides, George M., Harris, Milton, Stulz, Rene M. (Eds.), Handbook of the Economics of Finance: Volume 2b: Financial Markets and Asset Pricing . North-Holland.
  • Vayanos, Dimitri, Wang, Jiang (2012). Liquidity and asset returns under asymmetric information and imperfect competition. Review of Financial Studies, 25(5), 1339-1365. https://doi.org/10.1093/rfs/hhr128
  • Vayanos, Dimitri (2012). Theories of liquidity. Foundations and Trends in Finance, 6(4), 221-317. https://doi.org/10.1561/0500000014
  • Gromb, Denis, Vayanos, Dimitri (2010). Limits of arbitrage. Annual Review of Financial Economics, 2, 251-275. https://doi.org/10.1146/annurev-financial-073009-104107
  • Rabin, Matthew, Vayanos, Dimitri (2010). The gambler's and hot-hand fallacies: theory and applications. Review of Economic Studies, 77(2), 730-778. https://doi.org/10.1111/j.1467-937X.2009.00582.x
  • Gromb, Denis, Vayanos, Dimitri (2010). A model of financial market liquidity based on intermediary capital. Journal of the European Economic Association, 8(2-3), 456-466. https://doi.org/10.1111/j.1542-4774.2010.tb00516.x
  • Gromb, Denis, Vayanos, Dimitri (2009). Financially constrained arbitrage and cross-market contagion. Department of Finance, London School of Economics and Political Science.
  • Chau, Minh, Vayanos, Dimitri (2008). Strong-form efficiency with monopolistic insiders. Review of Financial Studies, 21(5), 2275-2306. https://doi.org/10.1093/rfs/hhl029
  • Vayanos, Dimitri, Weill, Pierre-Olivier (2008). A search-based theory of the on-the-run phenomenon. Journal of Finance, 63(3), 1361-1398. https://doi.org/10.1111/j.1540-6261.2008.01360.x
  • Vayanos, Dimitri, Wang, Tan (2007). Search and endogenous concentration of liquidity in asset markets. Journal of Economic Theory, 136(1), 66-104. https://doi.org/10.1016/j.jet.2006.08.001
    • Public
  • Jiang, Hao, Vayanos, Dimitri, Zheng, Lu (2025). Passive investing and the rise of mega-firms. Review of Financial Studies, 38(12), 3461 - 3496. https://doi.org/10.1093/rfs/hhaf085 picture_as_pdf
  • Gourinchas, Pierre-Olivier, Ray, Walker, Vayanos, Dimitri (2025). A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers. American Economic Review, 115(11), 3788 – 3824. https://doi.org/10.1257/aer.20220379 picture_as_pdf
  • Hardouvelis, Gikas A., Karalas, Georgios, Vayanos, Dimitri (2025). The distribution of investor beliefs, stock ownership, and stock returns. Management Science, https://doi.org/10.1287/mnsc.2022.02027 picture_as_pdf
  • Greenwood, Robin, Hanson, Samuel, Vayanos, Dimitri (2024). Supply and demand and the term structure of interest rates. Annual Review of Financial Economics, 16, 115 - 151. https://doi.org/10.1146/annurev-financial-082123-110048 picture_as_pdf
  • Meghir, Costas, Pissarides, Christopher, Vayanos, Dimitri (5 August 2024) From tourism to an innovative economy. Greece at LSE. picture_as_pdf
  • Vayanos, Dimitri, Vila, Jean-Luc (2023). Corrigendum a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440). Econometrica, 91(3), 31 - 32. https://doi.org/10.3982/ECTA21596 picture_as_pdf
  • Vayanos, Dimitri, Woolley, Paul (2023). Asset management as creator of market inefficiency. Atlantic Economic Journal, 51(1), 1-11. https://doi.org/10.1007/s11293-023-09769-6 picture_as_pdf
  • Hardouvelis, Gikas A., Vayanos, Dimitri (2023). The Greek economic crisis and the banks. (GreeSE Papers: Hellenic Observatory Papers on Greece and Southeast Europe 180). Hellenic Observatory, London School of Economics and Political Science. picture_as_pdf
  • Buffa, Andrea M., Vayanos, Dimitri, Woolley, Paul (2022). Asset management contracts and equilibrium prices. Journal of Political Economy, 130(12), 3146 - 3201. https://doi.org/10.1086/720515 picture_as_pdf
  • Vayanos, Dimitri, Vila, Jean-Luc (2021). A preferred-habitat model of the term structure of interest rates. Econometrica, 89(1), 77 - 112. https://doi.org/10.3982/ECTA17440 picture_as_pdf
  • Jiang, Hao, Vayanos, Dimitri, Zheng, Lu (2020). Tracking biased weights: asset pricing implications of value-weighted indexing. (Financial Markets Group Discussion Papers 823). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kondor, Peter, Vayanos, Dimitri (2019). Liquidity risk and the dynamics of arbitrage capital. Journal of Finance, 74(3), 1139-1173. https://doi.org/10.1111/jofi.12757
  • Eyster, Erik, Rabin, Matthew, Vayanos, Dimitri (2019). Financial markets where traders neglect the informational content of prices. Journal of Finance, 74(1), 371-399. https://doi.org/10.1111/jofi.12729
  • Gromb, Denis, Vayanos, Dimitri (2018). The dynamics of financially constrained arbitrage. Journal of Finance, 73(4), 1713 - 1750. https://doi.org/10.1111/jofi.12689
  • Gromb, Denis, Vayanos, Dimitri (2017). The dynamics of financially constrained arbitrage. (Financial Markets Group Discussion Papers 771). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Eyster, Erik, Rabin, Matthew, Vayanos, Dimitri (2017). Financial markets where traders neglect the informational content of prices. (Financial Markets Group Discussion Papers 770). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Gourinchas, Pierre-Olivier, Philippon, Thomas, Vayanos, Dimitri (2017). The analytics of the Greek crisis. NBER Macroeconomics Annual, 31(1), 1-81. https://doi.org/10.1086/690239
  • Brunnermeier, Markus K., Langfield, Sam, Pagano, Marco, Reis, Ricardo, Van Nieuwerburgh, Stijn, Vayanos, Dimitri (2017). ESBies: safety in the tranches. Economic Policy, 32(90), 175 - 219. https://doi.org/10.1093/epolic/eix004
  • Gourinchas, Pierre-Olivier, Philippon, Thomas, Vayanos, Dimitri (2016). The Greek crisis: an autopsy.
  • Brunnermeier, Markus K., Langfield, Sam, Pagano, Marco, Reis, Ricardo, Nieuwerburgh, Stijn Van, Vayanos, Dimitri (2016). ESBies: safety in the tranches. (CFM discussion paper series CFM-DP2016-27). Centre For Macroeconomics.
  • Gourinchas, Pierre-Olivier, Philippon, Thomas, Vayanos, Dimitri (2016). The analytics of the Greek crisis: celebratory centenary issue. (GreeSE papers 100). Hellenic Observatory, London School of Economics and Political Science.
  • Brunnermeier, Markus K, Garicano, Luis, Lane, Philip R., Pagano, Marco, Reis, Ricardo, Santos, Tano, Thesmar, David, Van Nieuwerburgh, Stijn, Vayanos, Dimitri (2016). The sovereign-bank diabolic loop and ESBies. (CFM discussion paper series CFM-DP2016-17). Centre For Macroeconomics.
  • Brunnermeier, Markus K., Garicano, Luis, Lane, Philip R., Pagano, Marco, Reis, Ricardo, Santos, Tano, Thesmar, David, Van Nieuwerberg, Stijn, Vayanos, Dimitri (2016). The sovereign-bank diabolic loop and ESBies. American Economic Review, 106(5), 508-512. https://doi.org/10.1257/aer.p20161107
  • Vayanos, Dimitri, Woolley, Paul (2016). Curse of the benchmarks. (Financial Markets Group Discussion Papers 747). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Brunnermeier, Markus K., Garicano, Luis, Lane, Philip R., Pagano, Marco, Reis, Ricardo, Santos, Tano, Thesmar, David, Nieuwerburgh, Stijn Van, Vayanos, Dimitri (2016). The sovereign-bank diabolic loop and ESBies. (CEP Discussion Paper 1414). London School of Economics and Political Science. Centre for Economic Performance.
  • Gromb, Denis, Vayanos, Dimitri (2015). The dynamics of financially constrained arbitrage. (Systemic Risk Centre Discussion Papers 32). Systemic Risk Centre, The London School of Economics and Political Science.
  • Gromb, Denis, Vayanos, Dimitri (2015). The dynamics of financially constrained arbitrage. (Systemic Risk Centre Discussion Papers 32). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Buffa, Andrea, Vayanos, Dimitri, Woolley, Paul (2014). Asset management contracts and equilibrium prices. (Financial Markets Group Discussion Papers 736). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kondor, Peter, Vayanos, Dimitri (2014). Liquidity risk and the dynamics of arbitrage capital. (Financial Markets Group Discussion Papers 730). London School of Economics and Political Science.
  • Vayanos, Dimitri, Wang, Jiang (2012). Market liquidity - theory and empirical evidence. (Financial Markets Group Discussion Papers 709). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Wang, Jiang (2012). Liquidity and asset returns under asymmetric information and imperfect competition. (Financial Markets Group Discussion Papers 708). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Woolley, Paul (2011). An institutional theory of momentum and reversal. (Financial Markets Group Discussion Papers 666). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kaminska, Iryna, Vayanos, Dimitri, Zinna, Gabriele (2011). Preferred-habitat investors and the US term structure of real rates. (Financial Markets Group Discussion Papers 674). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Guibaud, Stéphane, Nosbusch, Yves, Vayanos, Dimitri (2011). Bond market clienteles, the yield curve and the optimal maturity structure of government debt. (Financial Markets Group Discussion Papers 669). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Woolley, Paul (2011). Fund flows and asset prices: a baseline model. (Financial Markets Group Discussion Papers 667). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Greenwood, Robin, Vayanos, Dimitri (2010). Price pressure in the government bond market. American Economic Review, 100(2), 585-590. https://doi.org/10.1257/aer.100.2.585
  • Gromb, Denis, Vayanos, Dimitri (2010). Limits of arbitrage: the state of the theory. (Financial Markets Group Discussion Papers 650). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vayanos, Dimitri, Vila, Jean-Luc (2009). A preferred-habitat model of the term structure of interest rates. (Financial Markets Group Discussion Papers 641). Financial Markets Group, The London School of Economics and Political Science.
  • Vayanos, Dimitri, Wang, Jiang (2009). Liquidity and asset prices: a united framework. (Discussion paper 639). Financial Markets Group, The London School of Economics and Political Science.
  • Greenwood, Robin, Vayanos, Dimitri (2008). Bond supply and excess bond returns. (Financial Markets Group Discussion Papers 607). Financial Markets Group, The London School of Economics and Political Science.
  • Vayanos, Dimitri, Weill, Pierre-Olivier (2007). A search-based theory of the on-the-run phenomenon. (Financial Markets Group Discussion Papers 577). Financial Markets Group, The London School of Economics and Political Science.
  • Rabin, Matthew, Vayanos, Dimitri (2007). The gambler's and hot-hand fallacies: theory and applications. (Financial Markets Group Discussion Papers 578). Financial Markets Group, The London School of Economics and Political Science.
  • Chau, Minh, Vayanos, Dimitri (2005). Strong-form efficiency with monopolistic insiders. CEPR, London School of Economics and Political Science.
  • Vayanos, Dimitri, Weill, Pierre-Olivier (2005). A search-based theory of the on-the-run phenomenon. American Finance Association.
  • Vayanos, Dimitri, Wang, Tan (2004). Search and endogenous concentration of liquidity in asset markets. Econometric Society.
  • Vayanos, Dimitri (2004). Flight to quality, flight to liquidity, and the pricing of risk. (NBER Working Papers 10327). National Bureau of Economic Research, Inc.
  • DeMarzo, Peter M., Vayanos, Dimitri, Zwiebel, Jeffrey (2003). Persuasion bias, social influence, and uni-dimensional opinions. Quarterly Journal of Economics, 118(3), 909-968. https://doi.org/10.1162/00335530360698469
  • Vayanos, Dimitri (2003). The decentralization of information processing in the presence of interactions. Review of Economic Studies, 70(3), 667-695. https://doi.org/10.1111/1467-937X.00261
  • Gromb, Denis, Vayanos, Dimitri (2002). Equilibrium and welfare in markets with financially constrained arbitrageurs. Journal of Financial Economics, 66(2-3), 361-407. https://doi.org/10.1016/S0304-405X(02)00228-3
  • Vayanos, Dimitri (2001). Strategic trading in a dynamic noisy market. Journal of Finance, 56(1), 131-171. https://doi.org/10.1111/0022-1082.00321
  • Vayanos, Dimitri, Vila, Jean-Luc (1999). Equilibrium interest rate and liquidity premium with transaction costs. Economic Theory, 13(3), 509-539. https://doi.org/10.1007/s001990050268
  • Vayanos, Dimitri (1999). Strategic trading and welfare in a dynamic market. Review of Economic Studies, 66(2), 219-254. https://doi.org/10.1111/1467-937X.00086
  • Vayanos, Dimitri (1998). Transaction costs and asset prices : a dynamic equilibrium model. Review of Financial Studies, 11(1), 1-58. https://doi.org/10.1093/rfs/11.1.1
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  • Cheng, Gong, Jondeau, Eric, Mojon, Benoit, Vayanos, Dimitri (2025). The impact of green investors on stock prices. Review of Finance, picture_as_pdf