Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

On financial markets, information is a highly demanded resource and processing it to (potentially) generate excess returns drives the activities of many market participants. Not surprisingly, this high relevance of information in markets culminates in a high research interest focusing on how...

Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

Determining whether an individual money manager's success encompasses any skill is a difficult task. Long financial streaks – successive years in which fund managers are able to outperform the S&P 500 index – can provide new insight into determining whether differential skill plays a role in...

We show that three proxies for stock price informativeness, adjusted probability of information based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to an enlarged investor base after stock splits. The results are...

We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such an extension to be possible

A Linear Pricing Rule is established for the No Strong Arbitrage Principle (NSAP) in a finite state, single period asset pricing model. The (NSAP) condition is a statement about the inconsistency of a particular system of linear inequalities. The novelty here lies in the use of the...

Market clichés assert that markets take escalators up and elevators down. The observation suggests differentiating models for up and down moves. Non-diffusive models allow for this and we model the move as the difference of two independent mean reverting increasing processes driven by gamma...

In this paper I build a continuous time model of a complete financial market with $N$ heterogeneous agents whose constant relative risk aversion (CRRA) preferences differ in their level of risk aversion. I find that preference heterogeneity is able to replicate a high market price of risk and a...