Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
Journal of Finance, 73 (5), 2229-2269.
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Cryptocurrencies are lousy investments
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...
Cryptocurrencies
Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
Bank Resolution and the Structure of Global Banks
We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...
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...
Trading and Information Diffusion in Over-the-Counter Markets
We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...
The Effect of Superstar Firms on College Major Choice
We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...
