Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...
A Restart Procedure to Deal with Covid-19
Governments around the world are assisting firms to deal with the adverse effects of Covid-19. Most forms of government assistance provided so far...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Why investors should be weaned off tight tracking to market indices
Exploitative momentum investing would shrivel in the absence of benchmarkers.
The Dynamics of Financially Constrained Arbitrage
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...
Financial Markets where Traders Neglect the Informational Content of Prices
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...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
Asset Management Contracts and Equilibrium Prices
We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...
The Great Risk/Return Inversion - Who Loses Out?
Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...
