A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...
Passive Investing and the Rise of Mega-Firms
We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...
Delegated Blocks
Will asset managers with large amounts of capital and high risk-bearing capacity hold large blocks and monitor aggressively? Both block size and...
Green Capital Requirements
We study bank capital requirements as a tool to address financial risks and externalities caused by carbon emissions. Capital regulation can...
Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
Journal of Financial Economics 146(3), 1044-1072
ASC Insight: Bank capital regulation and climate change
Climate change has become a major topic of discussion at central banks and financial regulators. Key aspects of this debate include whether and how...
Giant funds and market mispricing
The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...
Research highlight
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Research highlight
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693