Publications

Review of Financial Studies, 27 (3). pp. 663-713. 

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...

Review of Financial Studies, 26 (12). pp. 3104-3141. 

Big investors currently pursue two very different strategies when appointing external managers. Their traditional approach is to hire fund managers...

Journal of Financial Economics, 109 (2). pp. 566-582. 

Review of Financial Studies, 26 (8). pp. 1891-1912.

Review of Financial Studies, 26 (8). pp. 1914-1961. 

Managers should focus on companies, not prices, says Paul Woolley.

We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...

Review of Financial Studies, 26 (5). pp. 1087-1145. 

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...

Risk metrics should be based on asset cash flows.

This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...

Review of Financial Studies, 26 (3). pp. 768-805. 

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...