Publications

Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...

We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...

This paper develops a dynamic model of financial institutions that borrow short-term and invest into long-term marketable assets. Because such...

We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...

This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition affects the...

We develop a dynamic industry model where financing frictions affect the entry decisions of new firms in the home market, as well as the riskiness of...

In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast, long-term bond risk premia...

Speaking notes for a debate on 28th March 2011 at the Financial Markets Group, London School of Economics.

Very high government debt/GDP ratios will increase uncertainty about inflation and the future path of real interest rates. This will reduce...

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

In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on average has been steeper since the mid-1980s than...

The Journal of Finance, 66 (2). pp. 635-653. 

We analyze one frequent clause in bonds, covenant defeasance. Covenant defeasance allows the issuer to remove the bond’s covenants by placing the...

Because of limited liability, insolvent banks have an incentive to roll over bad loans, in order to hide losses and gamble for resurrection, even...