Publications

HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.

According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...

An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...

Open letter by the international Euro-nomics academic group (www.euro-nomics.com), composed of Markus Brunnermeier, Luis Garicano, Philip R. Lane...

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...

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

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...

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

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

Review of Financial Studies, 24 (3), 892-925 

We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...

We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...

We study a model where a capital provider learns from the price of a firm’s security in deciding how much capital to provide for new investment. This...

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...