Dynamic hedging in incomplete markets: a simple solution
Review of Financial Studies, 25 (6). pp. 1845-1896.
Liquidity and asset returns under asymmetric information and imperfect competition
Review of Financial Studies, 25 (5). pp. 1339-1365.
The flip side: high frequency trading
HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.
New light on choice of investment strategy
According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...
The Wall Street Walk when Blockholders Compete for Flows
An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...
What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...
Making Europe Safer
Open letter by the international Euro-nomics academic group (www.euro-nomics.com), composed of Markus Brunnermeier, Luis Garicano, Philip R. Lane...
Delegated Activism and Disclosure
Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...
CDS Auctions
We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...
Anticipated and Repeated Shocks in Liquid Markets
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...
Complicated Firms
We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...
Dynamic Hedging in Incomplete Markets: A Simple Solution
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...
Institutional trade persistence and long-term equity returns
The Journal of Finance, 66 (2). pp. 635-653.
Preferred-Habitat Investors and the US Term Structure of Real Rates
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...
