The Fallibility of the Efficient Market Theory: a new paradigm
The efficient market theory has failed to explain the market behavior and asset pricing of recent years. A new model that incorporates the principal...
Ties that Bind: How business connections affect mutual fund activism
We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...
Liquidity Risk and the Dynamics of Arbitrage Capital
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...
Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints
Review of Financial Studies, 26 (12). pp. 3104-3141.
Chasing trends is a dangerous game
Big investors currently pursue two very different strategies when appointing external managers. Their traditional approach is to hire fund managers...
Trading frenzies and their impact on real investment
Journal of Financial Economics, 109 (2). pp. 566-582.
Anticipated and repeated shocks in liquid markets
Review of Financial Studies, 26 (8). pp. 1891-1912.
Bond market clienteles, the yield curve, and the optimal maturity structure of government debt
Review of Financial Studies, 26 (8). pp. 1914-1961.
Momentum investing is bad for your wealth
Managers should focus on companies, not prices, says Paul Woolley.
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
