Stock prices under pressure: How tax and interest rates drive returns at the turn of the tax year
We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between...
Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at...
Fund Flows and Asset Prices: A Baseline Model
We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW...
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Balance Sheet Capacity and Endogenous Risk
Banks operating under Value-at-Risk constraints give rise to a well-defined aggregate balance sheet capacity for the banking sector as a whole that...
Boards of Banks
We show that country characteristics explain most of the cross-sectional variation in bank board independence. In contrast, country characteristics...
The changing role of central banks
Although Central Banks have pursued the same objectives throughout their existence, primarily price and financial stability, the interpretation of...
The Vote is Cast: The Effect of Corporate Governance on Shareholder Value
This paper estimates the effect of corporate governance provisions on shareholder value and long-term outcomes in S&P1500 firms. We apply a regression...
The Price Impact of Institutional Herding
In this paper we develop a simple theoretical model to analyze the impact of institutional herding on asset prices. A growing empirical literature has...
Institutional Trade Persistence and Long-term Equity Returns
Recent studies show that single-quarter institutional herding positively predicts short-term returns. Motivated by the theoretical herding literature...
Executive Pay and Performance in the UK
This paper examines the relationship between executive cash compensation and company performance for a sample of large UK companies, focusing in...
Some help in understanding Britain's banking crisis 2007-09
Although Britain’s banking crisis received wide coverage in the media, this did not provide the public with any clearly structured account of its...
Innovations, rents and risk
We offer a rational expectations model of the dynamics of innovative industries. The fundamental value of innovations is uncertain and one must learn...