Publications

We study a model of credit markets with adverse selection where ex-ante identical lenders invest in a screening technology to reduce their type I and...

How do inflation expectations affect stock returns, and what accounts for this relationship? We directly measure investors' expectations using traded...

This paper examines the role of platform-issued money in shaping digital marketplace competition against a legacy fiat market. We show that platform...

This paper argues that endogenous growth requires not merely savings and investment, but institutions that ensure investment is productivity-enhancing...

The demand-system approach identifies asset demand slopes using residual supply shocks, presuming these shocks move expected returns but not risk. In...

We derive new bounds on arbitrary moments of the stochastic discount factor (SDF) that exploit the gap between the true and risk-neutral return...

This paper develops an overlapping generations model to analyse the inflationary consequences of introducing cryptocurrency alongside fiat money in an...

We develop a theory of liquidity transformation performed by market participants. An in-kind wrapper (e.g., a corporate bond ETF), issued by a fee...

Portfolio choice involves substituting across many assets at once, complicating inference about asset demand. An elementary condition often captures...

Commonly used frequentist estimation methods for linear factor models of asset returns are invalidated by weak and spurious factors. The problem is...

The equity premium has conventionally been defined as the return on stocks minus the return on bills. We decompose this conventional definition into...

We analyze the impact of financial market fragmentation when traders differ in terms of market access and information about the asset payoff. Agents...

We highlight the multiplier role of (public) safe assets by studying a model of a bank’s balance sheet. The bank optimally constructs a portfolio of...

Using an equilibrium network model and a large international panel of cross-border trade, we analyse empirically the drivers of foreign currency...

We introduce discounted alpha - a novel framework for equity valuation. By correcting market prices rather than discounting long-horizon cash flows...