Liquidity and asset pricing
Information in asset markets
Delegated portfolio management
Behavioural finance
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...
We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Research highlight
Journal of Political Economy, 130(12), 3146-3201
The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...
