Publications of Georgy Chabakauri

Privately informed about firm fundamentals, corporate insiders detect activism-motivated trades better than other traders. This paper solves the model...

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

Journal of Financial Economics, 141(1), 195-216

Journal of Financial Economics, 138(3), Pages 754-776.

We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...

The Review of Financial Studies, 32(12), 4905-4946.

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

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...

Journal of Monetary Economics, Vol 75, pp. 21-34.

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...

Review of Financial Studies, 26 (12). pp. 3104-3141. 

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

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

We develop a model of securitized (Originate, then Distribute) lending, in which both publicly observed aggregate shocks to values of securitized loan...

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...