Chinese Debt Capital Markets - An Emerging Global Market with Chinese Characteristics
With the deepening of China's reform and opening up, and the sustained development of the Chinese economy, the Chinese bond market has become an...
Centralized vs Decentralized Markets: The Role of Connectivity
We consider a setting in which privately informed agents are located in a network and trade a risky asset with other agents with whom they are...
Putting the Price in Asset Pricing
We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...
Long-Horizon Exchange Rate Expectations
We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...
Cleansing by tight credit: Rational cycles and endogenous lending standards
Journal of Financial Economics, 150(1), 46-67
On the Fragility of DeFi Lending
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
Personality Differences and Investment Decision-Making
We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five...
A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...
Passive Investing and the Rise of Mega-Firms
We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...
Delegated Blocks
Will asset managers with large amounts of capital and high risk-bearing capacity hold large blocks and monitor aggressively? Both block size and...
Green Capital Requirements
We study bank capital requirements as a tool to address financial risks and externalities caused by carbon emissions. Capital regulation can...
Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557