Publications

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a...

I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I...

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

We introduce a measure of a government’s fiscal position that exploits cointegrating relationships among fiscal variables. The measure is a loglinear...

Using granular data covering both regulated (brokerage-financed) and unregulated (shadowfinanced) margin accounts in China, we provide novel evidence...

We propose a novel measure, dubbed “relative basis,” to better capture the commodity convenience yield. Our measure is the difference between the...

Review of Finance, 30 (3), 921–948

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...

Annual Review of Financial Economics, 17, 77 - 92

Management Science, 72(2), 1595-1615

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...