Outsized Arbitrage
The paper studies incentives and trading decisions of an arbitrageur who can take concentrated bets in an illiquid market and who cares about interim...
Exploited by Complexity
Due to their complex features, structured financial products can hurt the average investor. Are certain investors particularly vulnerable? Using...
Resolving the Excessive Trading Puzzle: An Integrated Approach Based on Surveys and Transactions
The literature has provided over a dozen explanations for the widely documented excessive trading puzzle of retail investors trading so much that it...
Parimutuel betting markets: racetracks and lotteries revisited
This paper surveys the state of the art in research in racetrack and lottery markets. Market efficiency and the pricing of various wagers is studied...
Information Dispersion across Employees and Stock Returns
The Review of Financial Studies, 34(10), 4785–4831.
Market Fragmentation and Contagion
We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...
Financial Volatility and Economic Growth, 1870–2016
We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk...
Higher-Order Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...
Asset Pricing with Index Investing
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...
Exchange Rate Exposure and Firm Dynamics
This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model...
The need to issue long-dated gilts
The COVID-19 crisis presents a multi-faceted challenge to policymakers. A combination of declining commodity prices, the rise in unemployment, and...
Turning alphas into betas: Arbitrage and endogenous risk
Journal of Financial Economics, 137(2), 550-570
Information Dispersion Across Employees and Stock Returns
Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock...