Publications
Do Hedge Funds Reduce Idiosyncratic Risk? (with Ronnie Sadka and Namho Kang)
accepted at the Journal of Financial and Quantitative Analysis , January 2013
earlier version under a different title is CEPR DP 8307 Abstract
The delegated Lucas tree (with Ron Kaniel)
Review of Financial Studies, 26 (4),April 2013, 929-984
(an earlier version is CEPR DP8578) Abstract Appendix D
The more we know about the fundamental, the less we agree on the price
Review of Economic Studies, 79(3), July 2012, 1175-1207 Abstract, Web Appendix B, Web Appendix C
(an earlier version under stlightly different title is CEPR DP8455)
Fund Managers, Career Concerns, and Asset Price Volatility (with Veronica Guerrieri)
American Economic Review, 102(5), August 2012, 1986–2017. Abstract, Web Appendix
(see also an earlier version as NBER w14898)
Risk in Dynamic Arbitrage: Price Effects of Convergence Trading
Journal of Finance, 64(2), April 2009, 638-658 Abstract
Winner of the Smith BreedenFirst Prize for the Best Paper in asset pricing on the Journal ofFinance in 2009.
Papers in the revision process
Inefficient Investment Waves
January 2013 (with Zhiguo He) Abstract
See also as the earler version NBER w18217
Work in Progress
Trading and Information Diffusion in Over-the-Counter markets
December 2012 (with Ana Babus)
Dynamic risk-sharing
March 2012 (with Dimitri Vayanos)
Sovereign Bonds and Bail-outs
March 2011 (with Zhiguo He)
Projects on temporary hold
The More We Know, the Less We Agree: Uncertainty, Confusion and Speculative Attacks
September 2009 Abstract
Social learning with subjective communication and self-selection
(with Gergely Ujhelyi) Abstract
Rational Trader Risk
Financial Market Group Discussion Paper 533 Abstract
Procyclicality, collateral values and financial stability
(with Prasanna Gai and Nicholas Vause) Bank of England Working Paper No 304 Abstract