We develop a general equilibrium model in which households' mortgage leverage is determined by supply and demand forces, where the price of credit impacts the quantity of leverage households choose. Mortgages are supplied by financial intermediaries, who offer households a menu of mortgage...

The relationship between venture capital and growth is examined using an endogenous growth model incorporating dynamic contracts between entrepreneurs and venture capitalists. At each stage of financing, venture capitalists evaluate the viability of startups. If viable, venture capitalists...

Prior evidence suggests that managers learn indirectly from stock prices, which contain private information impounded by informed investors' trades. However, stock price is an indirect aggregate signal, which is likely to be insufficient for managerial learning. I propose that managers seek out...

Is the US equity performance an exception rather than the norm? With data on stock market returns from a cross-section of 55 countries in the past century, we find that the US equity return is subject to little survivorship bias. A global CAPM fits surprisingly well in the cross-section of...

We examine whether features of bank executives' compensation contracts cause them to take actions that contribute to systemic risk. Using multiple return-based measures of systemic risk coupled with an identification strategy that exploits heteroskedasticity to account for endogenous matching of...

We show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward sloping in recessions and upward sloping in expansions, a finding which is statistically significant and robust across the U.S., Europe, and Japan. Our results are based on the...

Empirical analysis of a sample of companies with private equity (PE) ownership in the UK shows that PE firms act as deep-pocket investors for their portfolio companies, rescuing them if they fall in financial distress. In contrast, external financing is expensive for companies without...

We study how differences in beliefs about expected inflation affect the nominal term structure when investors have “catching up with the Joneses” preferences. In the model, “catching up with the Joneses” preferences help to match the level and slope of yields as well as the level of...

We document a countercyclical sensitivity of the stock market to major macroeconomic news announcements. Stock prices react more to (either good or bad) announcement surprises when the economy is below its potential trend with the expectation of easing policy. Based on comprehensive regression...

This paper shows that centralizing the US corporate bond market would yield large gains in efficiency. By studying two markets where corporate bonds are successfully traded on central limit order books, I estimate that the transaction costs of US corporate bonds would decrease by 70% on average...