Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Delegation Chains
We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...
Bond Funds and Credit Risk
We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...
Dynamic Asset-Backed Security Design
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
Research highlight
The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
Research highlight
Extrapolative Bubbles and Trading Volume
The Review of Financial Studies, 35(4), 1682–1722
Research highlight
Clients' Connections Measuring the Role of Private Information in Decentralized Markets
Journal of Finance, 77(1), 505-544
High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
