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Department of Finance, LSE
Associate Professor of Finance
Tel
+44 (0)20 7107 5374
Email
Finance Faculty
Publications
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
DP 745
Asset Pricing with Index Investing
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...
DP 806
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
DP 779
Collateral Constraints and Asset Prices
We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...
DP 776