Preferred-Habitat Investors and the US Term Structure of Real Rates
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...
Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...
Fund Flows and Asset Prices: A Baseline Model
We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW...
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Limits of Arbitrage: The State of the Theory
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can...
Fund Flows and Asset Prices: A Baseline Model
We study flows between investment funds and their effects on asset prices in a simple two-period version of Vayanos and Woolley (2010, VW). As in VW...
A Preferred-Habitat Model of the Term Structure of Interest Rates
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities...
Capital Market Theory after the Efficient Market Hypothesis
Have capital market booms and crashes discredited the efficient market hypothesis? This column says yes and suggests a new model that explains asset...
Liquidity and Asset Prices A Unified Framework
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Bond supply and excess bond returns
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...
