Informational Black Holes in Financial Markets
We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets
Review of Financial Studies, 28 (12): 3303-3337.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
Wolf Pack Activism
It is alleged that activist hedge funds congregate around a common target, with one acting as the "lead" activist and others as peripheral activists...
The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
