The Drivers and Implications of Retail Margin Trading
Using granular data covering both regulated (brokerage-financed) and unregulated (shadowfinanced) margin accounts in China, we provide novel evidence...
Relative Basis and the Expected Returns of Commodity Futures
We propose a novel measure, dubbed “relative basis,” to better capture the commodity convenience yield. Our measure is the difference between the...
Bond Supply, Yield Drifts, and Liquidity Provision Before Macroeconomic Announcements
UK government bond yields tend to rise in a two-day window before labor market data releases and monetary policy news. This effect, particularly...
Inferring Mutual Fund Intra-Quarter Trading - An Application to ESG Window Dressing
We develop a novel method to infer intra-quarter trading of individual mutual funds. After a mutual fund executes a trade, its reported portfolio...
Unintended Consequences of Holding Dollar Assets
We examine a novel mechanism whereby the US dollar’s global dominance can have a large, unexpected impact on foreign Treasury yields in crisis periods...
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Margin Trading and Leverage Management
We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...
Why Don’t Most Mutual Funds Short Sell?
An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...
Informed Trading in Government Bond Markets
Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...
