Publications

The Journal of Finance, 66 (2). pp. 635-653. 

Review of Financial Studies, 24 (3), 892-925 

We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...

We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...

We study a model where a capital provider learns from the price of a firm’s security in deciding how much capital to provide for new investment. This...

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...

We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW...

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

Banks operating under Value-at-Risk constraints give rise to a well-defined aggregate balance sheet capacity for the banking sector as a whole that...

In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has...

Recent studies show that single-quarter institutional herding positively predicts short-term returns. Motivated by the theoretical herding literature...

We offer a rational expectations model of the dynamics of innovative industries. The fundamental value of innovations is uncertain and one must learn...

This chapter offers a new understanding of how financial markets work. The key departure from conventional theory is to recognize that investors do...

We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...

We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can...

In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has...