Financial Choice and Financial Information
We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...
The Optimal Consumption Function in a Brownian Model of Accumulation. Part C: A Dynamical System Formulation
This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B [2014]; a...
What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.
Monetary Easing and Financial Instability
We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...
Collateral Constraints and Asset Prices
We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...
Ties that Bind: How Business Connections Affect Mutual Fund Activism
Journal of Finance, 71(6), 2933-2966.
What is the Expected Return on a Stock?
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
Learning in Crowded Markets
We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...