Publications

Risk metrics should be based on asset cash flows.

This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...

Review of Financial Studies, 26 (3). pp. 768-805. 

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...

The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...

Review of Financial Studies, 25 (12). pp. 3457-3489. 

Short-term price movements have come to dominate.

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...

We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...

We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...

We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...

Most of us have been brought up to believe that free markets combined with healthy competition deliver good outcomes. We also presume that what holds...

Review of Financial Studies, 25 (6). pp. 1845-1896. 

Review of Financial Studies, 25 (5). pp. 1339-1365.

Journal of Financial Economics, 104 (2). pp. 383-400.