Discussion Papers

We provide a novel priced Wold representation that, using the pricing restrictions of a large cross-section of asset returns, sharply identifies...

We provide a powerful new predictor of the equity premium: Smoothed past overnight market returns strongly negatively forecast the quarterly close-to...

Financial regulations rely on regulator-controlled models to generate probabilistic forecasts which determine firm constraints. I refer to these...

Factor regressions provide a model-agnostic way to identify what drives Treasury yields, but not which investors respond. We develop an equilibrium...

Many economic questions require estimating the price effect of demand shifts (multipliers) in the bond market. Corporate bonds have salient...

Can financial intermediaries help solve the externalities of the real-economy, even when all investors are purely return-driven? This paper develops a...

We study empirically and theoretically the effects of international financial flows on resource allocation. Using the universe of firms in Hungary, we...

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a...

I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I...

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

We introduce a measure of a government’s fiscal position that exploits cointegrating relationships among fiscal variables. The measure is a loglinear...

Using granular data covering both regulated (brokerage-financed) and unregulated (shadowfinanced) margin accounts in China, we provide novel evidence...

We propose a novel measure, dubbed “relative basis,” to better capture the commodity convenience yield. Our measure is the difference between the...

We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...

We propose a novel measure that allows us to study memory associations in financial markets over the course of several decades. Using our measure, we...