Publications

We document that the firm level hiring rate predicts stock returns in the cross-section of US publicly traded firms even after controlling for...

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically significant amount on days...

Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension...

Motivated by the credit crisis 2007-08, this paper presents a theory of "capital market banks"; banks that use derivative programs to exploit...

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability...

This Special Paper is a collection of contributions to a conference on Cycles, Contagion and Crises which took place on 28-29 June 2007 at the...

We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...

Banks can enter new countries either through greenfield entry or by acquiring local banks. I model the effect of a foreign bank's mode of entry on the...

This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...

In a market with informationally connected traders, the dynamics of volume, price informa- tiveness, price volatility, and liquidity are severely...

The paper draws lessons from the experience of the past year for the conduct of central banks in the pursuit of macroeconomic and financial stability...

This paper analyses how entry by an international bank into a developing economy affects the credit market equilibrium. It offers a novel explanation...

We develop a theory of control rights in the context of licensing interim innovative knowledge for further development, which is consistent with the...

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of...