This paper studies the effects of jointly incorporating liquidity risk and non-tradeable wealth in a single asset pricing equation. First, I propose an overlapping-generations model with random endowment shocks and liquidity risk, evaluating their joint impact on expected returns. The model...

Portuguese Abstract: Em agosto de 2019, o mercado financeiro brasileiro de derivativos observou a introdução das ofertas retail liquidity provider (RLP) pela B3. Este artigo tem dois objetivos: (i) descrever os acontecimentos que culminaram na autorização regulatória para que o paradigma de...

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

We study events in which activist hedge funds and short sellers target the same stock using unique European data on activism and mandatory disclosures of large short positions. The presence of large short sellers is associated with a 22.6% increase in the probability of becoming an activist...