Financial Volatility and Economic Growth, 1870–2016
We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk...
Higher-Order Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...
Asset Pricing with Index Investing
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...
Exchange Rate Exposure and Firm Dynamics
This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model...
The need to issue long-dated gilts
The COVID-19 crisis presents a multi-faceted challenge to policymakers. A combination of declining commodity prices, the rise in unemployment, and...
Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
We exploit the exogenous shock of the COVID-19 pandemic on financial markets and regulatory restrictions on dark trading to investigate how volatility...
Turning alphas into betas: Arbitrage and endogenous risk
Journal of Financial Economics, 137(2), 550-570
Information Dispersion Across Employees and Stock Returns
Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Consumption in Asset Returns
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...
Dollars or Pence? Choosing a framework for US-China trade
Given that China is a strategic and economic rival to the US, the Trump administration’s framework for US-China trade makes far more sense than one...
