Discussion Papers

By connecting stocks through common active mutual fund ownership, we forecast cross-sectional variation in return covariance, controlling for...

Risk is endogenous. Equilibrium risk is the fixed point of the mapping that takes perceived risk to actual risk. When risk-neutral traders operate...

The purpose of this paper is to explore financial instability in this case due to a housing crisis and defaults on mortgages. The model incorporates...

Until recently, financial services regulation remained largely segmented along national lines. The integration of financial markets, however, calls...

We study technology adoption, risk and expected returns using a dynamic equilibrium model with production. The central insight is that optimal...

In this paper, we investigate whether U.S. bank holding companies (BHCs) with strong and independent risk management functions had lower aggregate...

We study flows between investment funds and their effects on asset prices in a simple two-period version of Vayanos and Woolley (2010, VW). As in VW...

This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...

This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...

We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities...

Does capital markets uncertainty affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United...

We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...

This paper studies the correlation and volatilities of the bond and stock markets in a regime- switching bivariate GARCH model. We extend the...

I document how the organizational form of a mutual fund affects its investment strategies. I show that centralized funds tilt their portfolios to hard...

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent definition...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...