We show that simple technical trading rule (TTR) strategies substantially reduce investment left tail risk. An investor following a TTR strategy can also avoid a high per[...]

Extreme movements in financial markets are not always reflected equally in individual stocks. Identifying which firms are unable to absorb shocks is a challenge. This pap[...]

We develop a model in which a financial intermediary's investment in risky assets—risk taking—is excessive due to limited liability and deposit insurance, and characteriz[...]

Funding risk has a systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic consequences of fu[...]

This paper uses an open-economy extension of Angeletos (2007) to study the effects of reducing public equity costs. The experiment is disciplined with firm-level and aggr[...]

Using a large sample of advanced and emerging market economies over the period 1999–2012, we examine the effectiveness of macroprudential policies (MPPs) in managing cros[...]

I study rollover risk in wholesale funding markets when intermediaries hold liquidity ex ante and fire sales may occur ex post. Multiple equilibria exist in a global roll[...]

Empirical evidence suggests financial intermediaries increase risky investments when interest rates are low. We develop a model consistent with this observation and ask w[...]

This paper revisits the results of Moskowitz and Vissing-Jørgensen (2002) on returns to entrepreneurial investments in the United States. Following the authors' methodolo[...]

This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage deb[...]