Margin Trading and Leverage Management
We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...
Why Don’t Most Mutual Funds Short Sell?
An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...
Informed Trading in Government Bond Markets
Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...
Dark Trading and Alternative Execution Priority Rules
Traders’ choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool...
Sustainability in a Risky World
This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility...
Factor Demand and Factor Returns
A mutual fund’s demand for a pricing factor, measured by the loading of the fund’s returns on the factor’s returns, is persistent over time. When...
Extrapolative Bubbles and Trading Volume
We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model...
The Role of Sentiment in the Economy: 1920 to 1934
This paper investigates the role of sentiment in the US macro economy from 1920 to 1934. We use 2.4 million digitized articles from the Wall St...
Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...
Are Bigger Banks Better? Firm-Level Evidence from Germany
The effects of large banks on the real economy are theoretically ambiguous and politically controversial. I identify quasi-exogenous increases in bank...
