Discussion Papers

Traders’ choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool...

This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility...

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...

We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model...

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...

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...

The effects of large banks on the real economy are theoretically ambiguous and politically controversial. I identify quasi-exogenous increases in bank...

The paper studies incentives and trading decisions of an arbitrageur who can take concentrated bets in an illiquid market and who cares about interim...

Due to their complex features, structured financial products can hurt the average investor. Are certain investors particularly vulnerable? Using...

The literature has provided over a dozen explanations for the widely documented excessive trading puzzle of retail investors trading so much that it...

This paper surveys the state of the art in research in racetrack and lottery markets. Market efficiency and the pricing of various wagers is studied...

We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...

We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk...

We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...

We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...

This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model...