Research

Publications

[1] Measuring Equity Risk with Option-implied Correlations (w. Grigory Vilkov), Review of Financial Studies, 25(10), 2012. Published version. Download (SSRN). Data.

[2] The Intended and Unintended Consequences of Financial-market Regulations: A General-equilibrium Analysis (w. Bernard Dumas, Raman Uppal and Grigory Vilkov), Journal of Monetary Economics, 81, 2016. Published version. Download (SSRN).

[3] The Dynamic Properties of Financial-Market Equilibrium with Trading Fees (w. Bernard Dumas), Journal of Finance, 74(2), 2019. Published version. Download (SSRN).

[4] Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency (w. Matthijs Breugem), Review of Financial Studies, 32(6), 2019. Published version. Download (SSRN).

[5] More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency (w. Savitar Sundaresan), Review of Financial Studies, 36(12), 2023; Lead Article and Editor's Choice. Published version. Download (SSRN).

[6] Dynamics of Asset Demands with Confidence Heterogeneity (w. Raman Uppal and Grigory Vilkov), forthcoming Review of Financial Studies. Published version. Download (SSRN).

Active Working Papers

[7] What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets (w. Matthijs Breugem and Joel Peress), R&R at Journal of Finance. Download (SSRN).

[8] The Term Structure of Market Efficiency (w. Matthijs Breugem and Roberto Marfè).

Older Working Papers

[9] On the Importance of Benchmarking: Optimal Contracts in Delegated Portfolio Management (w. Matthijs Breugem).

[10] Expected Correlation and Future Market Returns (w. Lorenzo Schönleber and Grigory Vilkov). Download (SSRN). Data.

Google Sites

Report abuse