Reaching for Yield: Evidence from Households
The existing literature has documented “reaching for yield” - the phenomenon of investing more in risky assets when interest rates drop - among...
Let the Market Speak: Using Interest Rates to Identify the Fed Information Effect
I propose a novel method to identify the exogenous monetary shock from the signaling effect of a Fed announcements in real time. The method relies on...
Research highlight
Cleansing by tight credit: Rational cycles and endogenous lending standards
Journal of Financial Economics, 150(1), 46-67
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
Asset Allocation and Returns in the Portfolios of the Wealthy
There is little direct empirical evidence on the investment behavior of wealthy households. Based on a proprietary database of investment portfolios...
On the Fragility of DeFi Lending
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
Granular Corporate Hedging Under Dominant Currency
This paper shows that, in a world dominated by vehicle currencies, firms engaging in international operations retain currency risk and hedge it real...
Feedback Trading and Bubbles
The paper develops a model of bubbles that can be taken to the data and explain the behavior of asset prices and their statistics. We depart from the...
Volatility and dark trading: Evidence from the Covid-19 pandemic
The British Accounting Review, 55 (4),101171
Timing Complex News to Target Attention
Investors have limited and time-varying attention. These constraints are heterogeneous across investors, which can create asymmetric information and...
Personality Differences and Investment Decision-Making
We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five...
A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...
