Publications

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...

Review of Financial Studies, 25 (6). pp. 1845-1896. 

Review of Financial Studies, 25 (5). pp. 1339-1365.

Journal of Financial Economics, 104 (2). pp. 383-400.

HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.

According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...

An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...

Open letter by the international Euro-nomics academic group (www.euro-nomics.com), composed of Markus Brunnermeier, Luis Garicano, Philip R. Lane...

We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...

Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...

We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...