Bubbles and crises, Liquidity
Heterogenous information
Mutual funds
Hedge funds
Network theory
Short-sale and margin constraints
Global games
Asset pricing
The Review of Economic Studies, 89 (5), 2445–2490
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
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(3), 831-859
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
Journal of Financial Economics, 109 (2). pp. 566-582.
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...
