Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Trading and Arbitrage in Cryptocurrency Markets
We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...
Heterogeneous Global Cycles
Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...
Cryptocurrencies: Financial stability and fairness
Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
Journal of Finance, 73 (5), 2229-2269.
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Cryptocurrencies are lousy investments
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...
Cryptocurrencies
Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?