Sentiment and speculation in a market with heterogeneous beliefs
We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
The Wealth Effect: How the Great Expectations of the Middle Class Have Changed the Politics of Banking Crises
The politics of major banking crises has been transformed since the nineteenth century. Analyzing extensive historical and contemporary evidence...
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...
Measuring Human Capital
Students around the world are going to school but are not learning – an emerging gap in human capital formation. To understand this gap, we introduce...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Trading and Arbitrage in Cryptocurrency Markets
We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...
Heterogeneous Global Cycles
Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Cryptocurrencies: Financial stability and fairness
Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...
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...
