Discussion Papers

We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...

This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B  [2014]; a...

We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...

This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...

We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...

It is alleged that activist hedge funds congregate around a common target, with one acting as the "lead" activist and others as peripheral activists...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...