Discussion Papers

The paper studies incentives and trading decisions of an arbitrageur who can take concentrated bets in an illiquid market and who cares about interim...

Due to their complex features, structured financial products can hurt the average investor. Are certain investors particularly vulnerable? Using...

The literature has provided over a dozen explanations for the widely documented excessive trading puzzle of retail investors trading so much that it...

This paper surveys the state of the art in research in racetrack and lottery markets. Market efficiency and the pricing of various wagers is studied...

We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...

We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk...

We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...

We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...

This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model...

We exploit the exogenous shock of the COVID-19 pandemic on financial markets and regulatory restrictions on dark trading to investigate how volatility...

Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock...

We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...

Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...

We study the market for a risky asset with heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information...

We propose a new measure of private information in decentralised markets – connections – defined as the number of dealers with whom a client trades in...

We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...