Discussion Papers

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...

In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...

This paper develops a theory of the opening and dynamic development of a futures market with competing exchanges. The optimal contract design involves...

This paper estimates the effects of Say-on-Pay (SoP); a policy that increases shareholder "voice" by providing shareholders with a regular vote on...

We present a model of efficient contracting with endogenous matching and limited monitoring in which firms compete for CEOs. The model explains the...

One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...

We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...

The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...

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...

This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...

The list of barriers to female representation in management is analogous to the list of barriers to female labor force participation. Accordingly, we...