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...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
Playing Favorites: How Firms Prevent the Revelation of Bad News
We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
Asset Management Contracts and Equilibrium Prices
We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
The Great Risk/Return Inversion - Who Loses Out?
Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...
Ballooning Finance
The Global Crisis has intensified debates over the merits of financial innovation and the optimal size of the financial sector. This column presents a...
Attracting investor attention through advertising
Review of Financial Studies, 27 (6). pp. 1797-1829.
Activist Funds, Leverage, and Procyclicality
We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...
The Fallibility of the Efficient Market Theory: a new paradigm
The efficient market theory has failed to explain the market behavior and asset pricing of recent years. A new model that incorporates the principal...
Ties that Bind: How business connections affect mutual fund activism
We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...
