Discussion Papers

We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...

Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium...

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...

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

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

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

In recent years, global imbalances have channeled the excess savings of surplus countries toward the real estate markets of deficit countries. By...

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

The Financial Crisis that started in 2007 ushered in new responsibilities for central banks, particularly for what is termed “macro-prudential policy...

How have the politics of banking crises changed over the long run? Unlike existing static accounts, we offer a dynamic theory emphasizing how the...

Passage of the Dodd-Frank financial reform bill, in conjunction with a Supreme Court ruling supporting a Freedom of Information Act request, required...

How does the change in the creditworthiness of a financial institution or sovereign impact its creditors’ solvency? I address this question in the...

We document that cross-sectional FX correlation disparity is countercyclical, as exchange rate pairs with high average correlation become more...

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...