The Co-Pricing Factor Zoo
We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...
What Drives Repo Haircuts? Evidence from the UK Market
Using a unique transaction-level dataset covering the UK bilateral repo market, we show that only 61% of the repos are backed by high-quality...
The Market Cost of Business Cycle Fluctuations
We propose a novel approach to measure the cost of aggregate economic fluctuations, that does not require complete specification of investors’ risk...
The spread of COVID-19 in London: Network effects and optimal lockdowns
Journal of Econometrics, 235 (2), 2125-2154
Research highlight
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
Journal of Financial Economics, 141(3), 831-859
How we learned to stop counting cases and worry about network effects instead
The commuter hub was key to the spread of COVID-19 in London. The authors of the article estimate it contributed to over 42% of all London cases. When...
The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns
We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Consumption in Asset Returns
Using information in returns we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to...
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.
An Information Based One-Factor Asset Pricing Model
We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers smaller out-of-sample...
Human capital and international portfolio diversification: A reappraisal
Journal of International Economics, Volume 99, Supplement 1, Pages S78-S96.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Human Capital and International Portfolio Diversification: A Reappraisal
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...
