The Review of Economic Studies, 89 (5), 2445–2490
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
Journal of Financial Economics, 141(1), 195-216
Journal of Financial Economics, 138(3), Pages 754-776.
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...
The Review of Financial Studies, 32(12), 4905-4946.
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...