Publications

We propose a new measure of private information in decentralised markets – connections – defined as the number of dealers with whom a client trades in...

We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...

We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...

Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...

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...

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...

We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...