Discussion Papers

We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...

We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...

This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B  [2014]; a...

We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...