Dimitri Vayanos

Econometrica, 89 (1), 77-112

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

Governments around the world are assisting firms to deal with the adverse effects of Covid-19. Most forms of government assistance provided so far...

Journal of Finance, 74 (3), 1139-1173.

Journal of Finance, 74 (1), 371-399.

Journal of Finance, 74 (4), 1713-1750. 

Exploitative momentum investing would shrivel in the absence of benchmarkers.

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