Inferring Mutual Fund Intra-Quarter Trading - An Application to ESG Window Dressing
We develop a novel method to infer intra-quarter trading of individual mutual funds. After a mutual fund executes a trade, its reported portfolio...
Unintended Consequences of Holding Dollar Assets
We examine a novel mechanism whereby the US dollar’s global dominance can have a large, unexpected impact on foreign Treasury yields in crisis periods...
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Margin Trading and Leverage Management
We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...
Why Don’t Most Mutual Funds Short Sell?
An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...
Informed Trading in Government Bond Markets
Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
The Effect of Superstar Firms on College Major Choice
We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...
