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). Internet Appendix.

[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). Code.

Working Papers

[5] More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency (w. Savitar Sundaresan), R&R Review of Financial Studies. Download (SSRN).

[6] Investor Sophistication and Portfolio Dynamics (w. Raman Uppal and Grigory Vilkov), submitted. Download (SSRN).

[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), submitted. Download (SSRN).

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

[9] Capital Controls and International Financial Stability: A Dynamic General equilibrium Analysis in Incomplete Markets.
New version coming soon ...

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