Publications

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

Journal of Finance, 74 (1), 371-399.

We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...

Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...

Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...

What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...

Journal of Finance, 73 (5), 2229-2269.

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

Journal of Economic Theory, Volume 177, Pages 558-593.

Econometrica, 86 (5), 1727-1769. 

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

Journal of Finance, 74 (4), 1713-1750. 

The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.

Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...

Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?

Journal of Financial Economics, 128 (2), 207-233