What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
Wolf Pack Activism
It is alleged that activist hedge funds congregate around a common target, with one acting as the "lead" activist and others as peripheral activists...
The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
Playing Favorites: How Firms Prevent the Revelation of Bad News
We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
Asset Management Contracts and Equilibrium Prices
We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
