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The Journal of Finance, ISSN 0022-1082, 12/2013, Volume 68, Issue 6, pp. 2309 - 2340
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion... 
Risk aversion | Trade | Investors | Financial securities | Alpha decay | Transaction costs | Financial portfolios | Weighted averages | Cost efficiency | Security portfolios | BUSINESS, FINANCE | LIQUIDITY PREMIA | IMPACT | MARKETS | EQUILIBRIUM | INVESTMENT | RISK | ECONOMICS | ASSET PRICES | Investment analysis | Trading | Securities trading | Signals | Portfolio management | Portfolios
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 6/2011, Volume 24, Issue 6, pp. 1980 - 2022
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns increase in both their betas and their... 
Capital costs | Dividends | Corporate bonds | Margined securities | Funding | Financial securities | Law of one price | Margin requirements | Modeling | Financial margins | E50 | LIQUIDITY | MARKET | E44 | G13 | G01 | G12 | MODEL | LEVERAGE | BUSINESS, FINANCE | EQUILIBRIUM | CONSTRAINTS | ECONOMICS | CONSUMPTION
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 11/2007, Volume 20, Issue 6, pp. 1865 - 1900
Journal Article
Journal of Political Economy, ISSN 0022-3808, 06/2015, Volume 123, Issue 3, pp. 670 - 685
We study the implications of preference heterogeneity for asset pricing. We use recursive preferences in order to separate heterogeneity in risk aversion from... 
Risk aversion | Heterogeneous economic agents | Consumer economics | Market prices | Financial risk | Consumer preferences | Interest rate risk | Consumer prices | Modeling | Interest rates | OVERLAPPING GENERATIONS | MARKET | EQUITY PREMIUM | PUZZLE | EQUILIBRIUM | RISK | ECONOMICS | MODEL | UTILITY | Capital assets | Usage | Substitution (Economics) | Analysis | Pricing | Differential equations
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 06/2020, Volume 33, Issue 6, pp. 2697 - 2727
Abstract We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but... 
Journal Article
The Journal of Finance, ISSN 0022-1082, 08/2018, Volume 73, Issue 4, pp. 1663 - 1712
ABSTRACT We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an... 
LIMITS | BUSINESS, FINANCE | COSTS | MUTUAL FUND PERFORMANCE | SKILL | SEARCH | PERSISTENCE | COMPETITION | HEDGE FUNDS | ECONOMICS | INFORMATION ACQUISITION | AGGREGATION | Financial management | Conferences and conventions | Business schools | Prices | Money | Investment advisors | Endogenous | Noise | Assets | Markets | Asset management | Capital | Fees | Portfolio management
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 09/2012, Volume 105, Issue 3, pp. 491 - 510
We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation increases the competitive pressure on... 
Equity premium | Value premium | Consumption-based asset pricing | Incomplete markets | Displacement risk | LIFE-CYCLE | HABIT | PRICE DYNAMICS | CORPORATE-INVESTMENT | IDIOSYNCRATIC RISK | CROSS-SECTION | BUSINESS, FINANCE | STOCK-MARKET | GROWTH | ECONOMICS | CONSUMPTION | Business schools
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 10/2009, Volume 22, Issue 10, pp. 4259 - 4299
We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to... 
Risk aversion | Options contracts | Price volatility | Covariance | Market prices | Financial risk | Financial securities | Stochastic models | Research universities | Security prices | BUSINESS, FINANCE | DISCRETE-TIME MODELS | PRICES | INFORMATION | RETURNS | CONTINGENT CLAIMS | ARBITRAGE | ECONOMICS | STOCKS | VALUATION | INCOMPLETE MARKETS | CURVES
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 09/2016, Volume 165, pp. 487 - 516
We show how portfolio choice can be modeled in continuous time with transitory and persistent transaction costs, multiple assets, multiple signals predicting... 
Continuous time | Predictability | Transaction costs | Equilibrium | Dynamic trading | Frictions | LIQUIDITY PREMIA | INVESTMENT | EXECUTION | RISK | ECONOMICS | ASSET PRICES | Monetary policy | Analysis | Business schools
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 2/2009, Volume 22, Issue 2, pp. 749 - 781
We analyze the design and renegotiation of covenants in debt contracts as a specific example of the contractual assignment of property rights under asymmetric... 
Debt | Information asymmetry | Entrepreneurs | Lenders | Acquisition costs | Debt contracts | Modeling | Financial investments | Covenants | Cost efficiency | BUSINESS, FINANCE | BOND COVENANTS | CAPITAL STRUCTURE | INTEGRATION | INCOMPLETE CONTRACTS | AGENCY COSTS | OWNERSHIP | VIOLATIONS | FIRM | Studies | Contract negotiations | Adverse selection | Mathematical models | Management theory
Journal Article
The Journal of Finance, ISSN 0022-1082, 8/2012, Volume 67, Issue 4, pp. 1265 - 1292
We study the asset-pricing implications of technological growth in a model with "small," disembodied productivity shocks and "large," infrequent technological... 
Consumption | Productivity | Covariance | Predictability | Expected returns | Economic growth models | Emerging technology | Macroeconomics | Modeling | Financial investments | STOCK RETURNS | BUSINESS, FINANCE | PRICES | HABIT FORMATION | LONG-RUN | INVESTMENT | EQUILIBRIUM | DYNAMICS | RISK | ECONOMICS | CROSS-SECTION | Analysis | Pricing
Journal Article
The American Economic Review, ISSN 0002-8282, 7/2015, Volume 105, Issue 7, pp. 1979 - 2010
Journal Article
Financial Analysts Journal, ISSN 0015-198X, 1/2001, Volume 57, Issue 1, pp. 41 - 59
In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on... 
Coupon rates | Debt | Bond principal | Working papers | Loan defaults | Valuation | Prioritization | Cash flow | Credit risk | Coupons | Financial portfolios | BUSINESS, FINANCE | TERM | Evaluation | Risk assessment | Debt financing (Corporations) | Securities industry | Management | Methods | Studies | Asset backed securities | Mathematical models | Risk exposure
Journal Article
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 2009, Volume 144, Issue 2, pp. 532 - 564
This paper studies portfolio choice and pricing in markets in which immediate trading may be impossible. It departs from the literature by removing... 
Liquidity | Portfolio choice | Discount | Trading delays | Transaction costs | Search | COSTS | EQUILIBRIUM | ECONOMICS | ASSET PRICES | Liquidity Discount Portfolio choice Trading delays Search Transaction costs | Pricing | Liquidity (Finance)
Journal Article
Econometrica, ISSN 0012-9682, 11/2005, Volume 73, Issue 6, pp. 1815 - 1847
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2002, Volume 66, Issue 2, pp. 307 - 339
We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable... 
Differences of opinion | Lending fee | Shorting | Pricing | HETEROGENEOUS EXPECTATIONS | ANNOUNCEMENTS | OFFERINGS | MARKETS | INFORMATION | lending fee | RESTRICTIONS | differences of opinion | SHORT SALES | ADJUSTMENT | OPTIONS | BUSINESS, FINANCE | shorting | ECONOMICS | SPECULATIVE INVESTOR BEHAVIOR | pricing | Securities trading | Analysis
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 10/2004, Volume 17, Issue 3, pp. 643 - 665
An important feature of financial markets is that securities are traded repeatedly by asymmetrically informed investors. We study how current and future... 
Dividends | Trade | Investors | Business orders | Liquidity | Market orders | Adverse selection | Cost allocation | Bid prices | Limit orders | BUSINESS, FINANCE | TRANSACTION COSTS | TRADING VOLUME | INFORMATION | MARKETS | EQUILIBRIUM | BID-ASK SPREAD | MODEL | RATIONAL-EXPECTATIONS ECONOMY | ASSET PRICES | LIQUIDITY PREMIUM
Journal Article
The Journal of Political Economy, ISSN 0022-3808, 06/2015, Volume 123, Issue 3, p. 670
  We study the implications of preference heterogeneity for asset pricing. We use recursive preferences in order to separate heterogeneity in risk aversion... 
Studies | Risk aversion | Volatility | Market prices | Rates of return | Elasticity | Interest rates
Journal Article
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