Discussion Papers

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...

Using information in returns we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to...

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...

We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...

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

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...

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...