Publications

We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...

Review of Financial Studies, 26 (5). pp. 1087-1145. 

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...

Risk metrics should be based on asset cash flows.

This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...

Review of Financial Studies, 26 (3). pp. 768-805. 

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...

The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...

Review of Financial Studies, 25 (12). pp. 3457-3489. 

Short-term price movements have come to dominate.

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...

We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...

We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...

We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...

Most of us have been brought up to believe that free markets combined with healthy competition deliver good outcomes. We also presume that what holds...