The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals.(...)

I provide empirical evidence that badly governed firms respond more to aggregate shocks than do well governed firms.(...)

Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This model generates this high covariance within a rational expectations framework by introducing markets for information about asset payoffs.(...)

This paper studies predatory trading: trading that induces and/or exploits other investors´ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset.(...)

Because a money manager learns more about her skill from her management experience than outsiders can learn from her realized returns, she expects inefficiency in future contracts that condition exclusively on realized returns.(...)

Defined-contribution plans represent a major organizational form for investors´ retirement savings. Today more than one third of all workers are enrolled in 401K plans.(...)

We examine the role of leverage in tender offers for widely held firms. Leverage allows raiders to appropriate part of the value gains arising from takeovers, hence reducing the takeover premium and mitigating the free-rider problem.(...)

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models 1.(...)

The roles of Fannie Mae and Freddie Mac have become increasingly controversial in the modern world of residential mortgage finance. We describe the special features of these two companies and their roles in the mortgage markets. We then discuss the controversies that surround them and offer...

In a model with housing collateral, the ratio of housing wealth to total wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the...