A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...
Passive Investing and the Rise of Mega-Firms
We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...
Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Giant funds and market mispricing
The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...
Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Financial Markets where Traders Neglect the Informational Content of Prices
We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...
Why investors should be weaned off tight tracking to market indices
Exploitative momentum investing would shrivel in the absence of benchmarkers.
The Dynamics of Financially Constrained Arbitrage
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...
Financial Markets where Traders Neglect the Informational Content of Prices
We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...
