Bond Funds and Credit Risk
We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...
Dynamic Asset-Backed Security Design
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
Research highlight
The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
Research highlight
Extrapolative Bubbles and Trading Volume
The Review of Financial Studies, 35(4), 1682–1722
Research highlight
Clients' Connections Measuring the Role of Private Information in Decentralized Markets
Journal of Finance, 77(1), 505-544
High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Journal of Finance, 76 (6), 3211-3254
Municipal Bond Insurance and the U.S. Drinking Water Crisis
We show that the collapse of the municipal bond insurance industry plays an important, but previously overlooked, role in driving regional variation...
A Theory of Socially Responsible Investment
We characterize necessary conditions for socially responsible investors to impact firm behavior in a setting in which firm production generates social...
Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
