Stock prices under pressure: How tax and interest rates drive returns at the turn of the tax year
We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between...
Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...
Fund Flows and Asset Prices: A Baseline Model
We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW...
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Balance Sheet Capacity and Endogenous Risk
Banks operating under Value-at-Risk constraints give rise to a well-defined aggregate balance sheet capacity for the banking sector as a whole that...
Boards of Banks
We show that country characteristics explain most of the cross-sectional variation in bank board independence. In contrast, country characteristics...
The Vote is Cast: The Effect of Corporate Governance on Shareholder Value
This paper estimates the effect of corporate governance provisions on shareholder value and long-term outcomes in S&P1500 firms. We apply a regression...
The Price Impact of Institutional Herding
In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has...
Institutional Trade Persistence and Long-term Equity Returns
Recent studies show that single-quarter institutional herding positively predicts short-term returns. Motivated by the theoretical herding literature...
Executive Pay and Performance in the UK
This paper examines the relationship between executive cash compensation and company performance for a sample of large UK companies, focusing in...
Innovations, rents and risk
We offer a rational expectations model of the dynamics of innovative industries. The fundamental value of innovations is uncertain and one must learn...
The Optimal Timing of Executive Compensation
We propose a new continuous-time principal-agent model to study the optimal timing of stock-based incentives, when the effects of managerial actions...
Value of Information in Competitive Economies with Incomplete Markets
We study the value of information in a competitive economy in which agents trade in asset markets to reallocate risk. We characterize the kinds of...
Aversion to the variability of pay and optimal incentive contracts
In a moral hazard setting with a performance additive in effort and a symmetrically distributed noise term, I show that compensation contracts which...
Signalling in Tender Offer Games
We examine whether a bidder can use tender o§er terms to signal post-takeover security benefits. Neither restricted bids nor cash-equity offers allow...
Trading and Voting in Distressed Firms
We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...
