We analyze the costs and benefits of intermediaries for government-sponsored enterprise (GSE) mortgages using regulatory data. We find evidence of lenders pricing for observable and unobservable default risk independently from the GSEs. These findings are explained using a model of competitive...

Implementing a state-of-the-art machine learning technique for causal identification from text data (C-TEXT), we document that patents authored by female inventors are under-cited relative to those authored by males. Relative to what the same patent would be predicted to receive had the lead...

We solve the problem of valuing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Karatzas and Fernholz (Handbook of Numerical Analysis, vol. 15, pp. 89–167, Elsevier,...

In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and elasticity of intertemporal substitution are in excess...

We offer a parsimonious model to investigate how strategic wind producers sell energy under stochastic production constraints, where the extent of heterogeneity of wind energy availability varies according to wind farm locations. The main insight of our analysis is that increasing heterogeneity...

When the planning horizon is long, and the safe asset grows indefinitely, iso-elastic portfolios are nearly optimal for investors who are close to iso-elastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage-free, frictionless, semi-martingale...

We introduce a model to illustrate how the effect of capital requirements on bank lending can qualitatively depend on the extent of managerial protections against shareholder actions. Protections encourage managers to pursue unprofitable projects. Protected managers can still be disciplined by...

We study a contracting problem in continuous-time where the principal hires an agent to conduct an R&D project for which progress towards success is binary. Under general concave payoffs, we explicitly derive the optimal dynamic incentive con- tract. In the first best scenario where incentives...

We study the optimal size and composition of an advisory committee when shareholders differ in preferences and beliefs and strategically acquire and communicate information. If shareholders and management have similar objectives but disagree due to different beliefs, and information is cheap,...

We examine dynamic contracts when output has negative environmental effects and the manager (agent) can invest to build up ESG capital and mitigate the externality. The incentive component of the optimal contract rewards based on cash flow and ESG capital when the principal is risk neutral; and...