An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
Taming the finance monster
The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...
A flow-based explanation for return predictability
Review of Financial Studies, 25 (12). pp. 3457-3489.
Market Liquidity - Theory and Empirical Evidence
In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...
Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...
Asset Pricing with Heterogeneous Investors and Portfolio Constraints
We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...
Stock Market Tournaments
We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...
Investing for your own and the greater good
Most of us have been brought up to believe that free markets combined with healthy competition deliver good outcomes. We also presume that what holds...
Dynamic hedging in incomplete markets: a simple solution
Review of Financial Studies, 25 (6). pp. 1845-1896.