Discussion Papers

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...

We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...

We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...

We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...

This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...

We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...

The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...

We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...

We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...

We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...

An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...