We employ loan-level data on over a million loans disbursed in India between 1995 and 2010 to understand how fast-changing regulation impacted mortgage lending and risk. Our methodology offers an alternative to regression discontinuity analysis that applies even when regulations create no...

While there has been enormous interest in hedge funds from academics, prospective and current investors, and policymakers, rigorous empirical evidence of their impact on asset markets has been difficult to find. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios,...

This paper reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profitably towards value stocks and stocks with low turnover, but these tilts do not fully...

The infrequent nature of crises means that pure time-series methods struggle to distinguish the effects of capital flight on asset prices from a wide range of alternative drivers. We present a new cross-sectional approach, which is motivated by the insight that investors may have different...

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility that is derived from currency options, and reflects...

The relative popularity of adjustable-rate mortgages (ARMs) and fixed-rate mortgages (FRMs) varies considerably both across countries and over time. We ask how movements in current and expected future interest rates affect the share of ARMs in total mortgage issuance. Using a nine-country panel...

We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 42 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable by...

Heterogeneity in the taxation of asset returns can create ownership clienteles. Using a simple model, we demonstrate that an important consequence of tax-induced ownership segmentation is to limit risk-sharing, creating regions of the aggregate demand curve for the asset that are...

We study a natural experiment in which 1.5 million investors participate in allocation lotteries for Indian IPO stocks. Randomized IPO gains cause winning investors to increase applications to future IPOs and substantially increase portfolio trading volume in non-IPO stocks relative to lottery...

This paper studies inattention to mortgage refinancing incentives among Danish households. Danish data are particularly suitable for this purpose because there are minimal barriers to refinancing, yet many borrowers fail to refinance optimally, and the characteristics of these borrowers can be...