Papers

Publications:

Risk in Dynamic Arbitrage: Price Effects of Convergence Trading
(forthcoming in the Journal of Finance) Abstract

Working papers and work in progress:

Skewness vs. volatility: incentives and price effect of fund managers
(with Ron Kaniel) Work in progress.

Have extreme events become larger? Idiosyncratic risk of stocks and the role of institutional trading
(with Ronnie Sadka) Work in progress.

Fund managers and defaultable debt
(with Veronica Guerrieri) Work in progress. Abstract

Career concerns and dynamic arbitrage
(Under revision.) Abstract

Social learning with subjective communication and self-selection
(with Gergely Ujhelyi) Abstract

The more we know, the less we agree: public announcements and higher-order expectations
Financial Market Group Discussion Paper 532 Abstract

Rational Trader Risk
Financial Market Group Discussion Paper 533 Abstract

Procyclicality, collateral values and financial stability
(with Prasanna Gai and Nicholas Vause) Bank of England Working Paper No 304 Abstract