Investors’ Horizons and the Amplification of Market Shocks
This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...
From Female Labor Force Participation to Boardroom Gender Diversity
The list of barriers to female representation in management is analogous to the list of barriers to female labor force participation. Accordingly, we...
International Correlation Risk
We provide novel evidence of priced correlation risk in the foreign exchange market. Currencies that perform badly (well) during periods of high...
Shareholder Empowerment and Bank Bailouts
We investigate the hypothesis that shareholder empowerment may have led to more bank bailouts during the recent financial crisis. To test this...
Bankers and bank investors: Reconsidering the economies of scale in banking
We study economies of scale in banking by viewing banks as combinations of financial and human capital that create rents which accrue to investors and...
Agency, Firm Growth, and Managerial Turnover
We study managerial incentive provision under moral hazard in a firm subject to stochastic growth opportunities. In our model, managers are dismissed...
Do Standard Corporate Governance Practices Matter in Family Firms?
We study the unique governance dynamics surrounding family ownership in a voluntary regulatory arena where we can directly observe the impact of firm...
Market Liquidity - Theory and Empirical Evidence
In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...
Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...
Asset Pricing with Heterogeneous Investors and Portfolio Constraints
We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...
Stock Market Tournaments
We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...
Transparency, Tax Pressure and Access to Finance
In choosing transparency, firms must trade off the benefits from better access to finance against the cost of a greater tax burden. We study this...
Securitized Banking, Asymmetric Information, and Financial Crisis: Regulating Systemic Risk Away
We develop a model of securitized (Originate, then Distribute) lending, in which both publicly observed aggregate shocks to values of securitized loan...
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise
We propose a new estimator of multivariate ex-post volatility that is robust to microstructure noise and asynchronous data timing. The method is based...
Financial Regulation in General Equilibrium
This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007...
Transparency in the financial system: rollover risk and crises
The paper presents a theory of optimal transparency in the financial system when financial institutions have short-term liabilities and are exposed to...
