Publications

We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...

This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B  [2014]; a...

The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.

The Quarterly Journal of Economics, 132 (1), 367-433. 

We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...

Review of Financial Studies, 30 (1): 80-119. 

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...

Review of Financial Studies, 29 (12): 3354-3393.

Journal of Finance, 71(6), 2933-2966. 

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

American Economic Review, 106(5): 508-12

Review of Financial Studies, 29 (5), 1220-1253

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...