Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Delegation Chains
We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...
Bond Funds and Credit Risk
We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...
Dynamic Asset-Backed Security Design
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
Municipal Bond Insurance and the U.S. Drinking Water Crisis
We show that the collapse of the municipal bond insurance industry plays an important, but previously overlooked, role in driving regional variation...
A Theory of Socially Responsible Investment
We characterize necessary conditions for socially responsible investors to impact firm behavior in a setting in which firm production generates social...
Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
Blockchain Analysis of the Bitcoin Market
In this paper, we provide detailed analyses of the Bitcoin network and its main participants. We build a novel database using a large number of public...
Cleansing by Tight Credit: Rational Cycles and Endogenous Lending Standards
Endogenous cycles are generated by the two-way interaction between lenders’ behavior in the credit market and production fundamentals. When lenders...
Information, Market Power and Welfare
We study a financial market in which agents with interdependent values bid for a risky asset. Some agents are privately informed of their own value...
The Wall Street Stampede: Exit as Governance with Interacting Blockholders
The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength...
Margin Trading and Leverage Management
We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...
Why Don’t Most Mutual Funds Short Sell?
An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...
Informed Trading in Government Bond Markets
Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...
