Publications

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...

Management Science, 0(0)

We propose a novel measure that allows us to study memory associations in financial markets over the course of several decades. Using our measure, we...

UK government bond yields tend to rise in a two-day window before labor market data releases and monetary policy news. This effect, particularly...

We study causal narratives – narratives which describe a (potentially incorrect) causal relationship between variables. In a series of experiments...

This paper studies the general equilibrium implications of arbitrage trades in segmented financial markets. Arbitrageurs choose a category of trades...

American Economic Review: Insights, 7(2), 196–212

Annual Review of Financial Economics, 17

We develop a novel method to infer intra-quarter trading of individual mutual funds. After a mutual fund executes a trade, its reported portfolio...

We survey 509 equity portfolio managers from both traditional and sustainable funds on whether, why, and how they incorporate firms’ environmental and...

Annual Review of Financial Economics, 16, 115 - 151

Privately informed about firm fundamentals, corporate insiders detect activism-motivated trades better than other traders. This paper solves the model...