Walrasian Foundations for Equilibria in Segmented Markets
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
The effect of monitoring on CEO pay practices in a matching equilibrium
We present a model of efficient contracting with endogenous matching and limited monitoring in which firms compete for CEOs. The model explains the...
Say Pays! Shareholder Voice and Firm Performance
This paper estimates the effects of Say-on-Pay (SoP); a policy that increases shareholder "voice" by providing shareholders with a regular vote on...
A Theory of the Evolution of Derivatives Markets
This paper develops a theory of the opening and dynamic development of a futures market with competing exchanges. The optimal contract design involves...
Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...
Cyclical Adjustment of Capital Requirements: A Simple Framework
We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...
Market Quality and Contagion in Fragmented Markets
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...
Procyclical Leverage and Value-at-Risk
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Investors’ Horizons and the Amplification of Market Shocks
This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
From Female Labor Force Participation to Boardroom Gender Diversity
The list of barriers to female representation in management is analogous to the list of barriers to female labor force participation. Accordingly, we...
