Publications

We study the market for a risky asset with heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information...

We propose a new measure of private information in decentralised markets – connections – defined as the number of dealers with whom a client trades in...

We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...

The Review of Financial Studies, 32(6), 2384–2421.

Journal of Finance, 74 (3), 1139-1173.

We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...

American Economic Review, 109(3), 810-43.

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

Journal of Finance, 74 (1), 371-399.

We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...

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 are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...

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...

Journal of Finance, 73 (5), 2229-2269.

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

Journal of Economic Theory, Volume 177, Pages 558-593.