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...
Trading ahead of barbarians’ arrival at the gate: insider trading on noninside information
Review of Finance, 30 (3), 921–948
Boards of Banks
Bank board directors are highly independent but possess limited prior banking experience. Using a sample of banks from 90 countries between 2000 and...
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A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
American Economic Review, 115(11), 3788–3824
Behind the Corporate Veil: How Business Groups Arbitrage ESG Disclosure Mandates
We examine how ESG disclosure mandates introduced in the headquarters countries of business groups affect the ESG performance of both parent companies...
Of AI bubbles and crashes
Warnings of an AI stock market bubble abound. Should investors and policymakers be concerned? This column argues that innovation-driven bubbles can...
Talk and the City: How Far to Trust Bankers (Not) Calling for Bailouts?
To evaluate a bank’s resilience to financial stress, authorities often rely on private information from a peer institution, or counterparty. This...
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Passive Investing and the Rise of Mega-Firms
The Review of Financial Studies, 38(12), 3461–3496
The Tragedy of Complexity
Complexity can create value. At the same time, understanding more complex goods requires more of an agent’s attention. We show that equilibrium...
Forecasting Crashes with a Smile
We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...
