Publications

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

We document that cross-sectional FX correlation disparity is countercyclical, as exchange rate pairs with high average correlation become more...

We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...

We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages...

In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...

We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...

Remarks by Ignazio Angeloni, Member of the Supervisory Board of the European Central Bank on the occasion of the International conference on “Start of...

We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive...

Having completed the regulatory framework for systemically important banks, the Financial Stability Board is turning to insurance companies. The...

Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight...

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

We investigate the determinants of firms’ implicit employment and wage insurance to employees against industry-level and idiosyncratic shocks. We rely...

We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...