Discussion Papers

We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...

We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...

Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...

We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...

Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...

We show that the collapse of the municipal bond insurance industry plays an important, but previously overlooked, role in driving regional variation...

We characterize necessary conditions for socially responsible investors to impact firm behavior in a setting in which firm production generates social...

We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...

In this paper, we provide detailed analyses of the Bitcoin network and its main participants. We build a novel database using a large number of public...

Endogenous cycles are generated by the two-way interaction between lenders’ behavior in the credit market and production fundamentals. When lenders...

We study a financial market in which agents with interdependent values bid for a risky asset. Some agents are privately informed of their own value...

The growth of the asset management industry has made it commonplace for firms to have multiple institutional blockholders. In such firms, the strength...

We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...

An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...

Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...

Traders’ choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool...