Attracting Investor Attention through Advertising
This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...
A Flow-Based Explanation for Return Predictability
This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...
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...
Financial Volatility and Economic Activity
Does capital markets uncertainty affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United...
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...
Rents, learning and risk in the financial sector and other innovative industries
We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...
Regime Switching in Volatilities and Correlation between Stock and Bond markets
This paper studies the correlation and volatilities of the bond and stock markets in a regime- switching bivariate GARCH model. We extend the...
Endogenous Liquidity and Contagion
Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent definition...
Organizational Diseconomies in the Mutual Fund Industry
I document how the organizational form of a mutual fund affects its investment strategies. I show that centralized funds tilt their portfolios to hard...
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...
Lessons from the global financial crisis for regulators and supervisors
This lecture is a tour d’horizon of the financial crisis aimed at extracting lessons for future financial regulation. It combines normative...
Negative Nominal Interest Rates:Three ways to overcome the zero lower bound
The paper considers three methods for eliminating the zero lower bound on nominal interest rates and thus for restoring symmetry to domain over which...
Endogenous Technological Progress and the Cross Section of Stock Returns
I study the cross sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. In the model...
Ambiguity Information Acquisition and Price Swings in Asset Markets
This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payoffs. The same investors, however...
