High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Journal of Finance, 76 (6), 3211-3254
Municipal Bond Insurance and the U.S. Drinking Water Crisis
We show that the collapse of the municipal bond insurance industry plays an important, but previously overlooked, role in driving regional variation...
A Theory of Socially Responsible Investment
We characterize necessary conditions for socially responsible investors to impact firm behavior in a setting in which firm production generates social...
Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
Blockchain Analysis of the Bitcoin Market
In this paper, we provide detailed analyses of the Bitcoin network and its main participants. We build a novel database using a large number of public...
Cleansing by Tight Credit: Rational Cycles and Endogenous Lending Standards
Endogenous cycles are generated by the two-way interaction between lenders’ behavior in the credit market and production fundamentals. When lenders...
Information, Market Power and Welfare
We study a financial market in which agents with interdependent values bid for a risky asset. Some agents are privately informed of their own value...
Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
Journal of Financial Economics, 141(3), 831-859
The Wall Street Stampede: Exit as Governance with Interacting Blockholders
The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength...
