Trading and Arbitrage in Cryptocurrency Markets
We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...
Heterogeneous Global Cycles
Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Cryptocurrencies: Financial stability and fairness
Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
Journal of Finance, 73 (5), 2229-2269.
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
The hierarchy of financial policies
Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains...
Ten Years After the Global Financial Crisis: Causes, Outcomes, Lessons Learnt
September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...
Screening on loan terms: Evidence from maturity choice in consumer credit
The Review of Financial Studies, 31 (9), 3532-3567
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
