Publications

We propose a new estimator of multivariate ex-post volatility that is robust to microstructure noise and asynchronous data timing. The method is based...

This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007...

HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.

We develop a stylized model of efficient contracting in which firms compete for CEOs. The optimal contracts are designed to retain and insure CEOs...

The paper presents a theory of optimal transparency in the financial system when financial institutions have short-term liabilities and are exposed to...

This paper explores the trading incentives of financial institutions induced by the interaction between regulatory accounting rules and capital...

According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...

The aim of the bail-in proposal is that governments should have an alternative option to taxpayer-funded rescues of systemic banks. It operates...

We use a comparative approach to study the incentives provided by different types of compensation contracts, and their valuation by risk averse...

Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains...

In many bilateral transactions, the seller fears being underpaid because its outside option is better known to the buyer. We rationalize a variety of...

Private equity sponsors pay special attention to designing capital structure, making buyouts an interesting setting for examining capital structure...

We use the recent introduction of biofuels to study the effect of industry factors on the relationships between wholesale commodity prices...

We propose that an active takeover market provides incentives by offering acquisition opportunities to successful managers. This allows firms to...

It is established that the standard principal-agent model cannot explain the structure of commonly used CEO compensation contracts if CRRA preferences...