Publications

Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...

We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...

We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...

The Journal of Finance, 66 (2). pp. 635-653. 

Review of Financial Studies, 24 (3), 892-925 

We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...

We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...

We study a model where a capital provider learns from the price of a firm’s security in deciding how much capital to provide for new investment. This...

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...

We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW...

We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...

Banks operating under Value-at-Risk constraints give rise to a well-defined aggregate balance sheet capacity for the banking sector as a whole that...

In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has...

Recent studies show that single-quarter institutional herding positively predicts short-term returns. Motivated by the theoretical herding literature...