A large chunk of U.S. equity derivative payoffs are biased due to a price drift in the run up to expiration. The bias generates a wealth transfer of 4 billions USD per year in SPX options alone. We argue the likely reason for this bias is due to market maker hedges practices.

We measure subjective expected returns in real time from an international panel of survey forecasters. We document their properties showing they are subjectively cyclical. However, they are not completely rational. Imbedding risk based pricing and deviations from full information rationality we develop and estimate a subjective asset pricing model with a long run belief distortion that captures these facts. 

Black (1993) famously argues money is like an option - we develop this arguement in a tractable general equilibrium model through a cash-in-advance constraint. Leveraging option pricing techniques we solve the model in closed form which delivers clean predictions linking inflation expectations and the term structure of interest rate volatility - we show these predictions are clearly detectable in the data. 

We explore the small-sample properties and biases that arise in GMM-based asset pricing tests and conclude that proxying for the return on wealth via the return on the market renders point estimates of preference parameters meaningless. Quantifying the size of empirical distortions via simulation we argue that consumption based asset pricing might not be so terrible, with the caveat, that it's hard to know.  

We study the depth of the limit order book, dealer numbers, and market quality in exchange traded markets. We document an 80% reduction in the depth and in the number of participating dealers in the world’s largest futures market, the S&P 500 E-mini contract, over the period from 2012 to 2022 and propose a model of liquidity provision subject to participation and balance sheet costs to understand this fact.