Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
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Dynamic Asset-Backed Security Design
The Review of Economic Studies, 90(6), 3282–3314
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Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
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Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
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Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
Journal of Financial Economics 146(3), 1044-1072
ASC Insight: Bank capital regulation and climate change
Climate change has become a major topic of discussion at central banks and financial regulators. Key aspects of this debate include whether and how...
Giant funds and market mispricing
The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...
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Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
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Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
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Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
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Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
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Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
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Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
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Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Delegation Chains
We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...
