Publications

The Journal of Finance, 70 (3): 925–962. 

Review of Financial Studies, 28 (5): 1353-1380. 

We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...

It is alleged that activist hedge funds congregate around a common target, with one acting as the "lead" activist and others as peripheral activists...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

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

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...

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...

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

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

Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...

The Global Crisis has intensified debates over the merits of financial innovation and the optimal size of the financial sector. This column presents a...