This paper examines customer momentum, defined as a positive relationship between a firm's returns and past returns of its customers. I confirm previous evidence (Cohen and Frazzini 2008) that customer momentum is both statistically and economically significant. Long-short equally-weighted...

We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency...

We examine the role of political ideology in portfolio formation by studying a unique set of investors whose ideology can be precisely captured by a well-defined, continuous measure and whose personal asset allocation decisions are mandatorily disclosed - namely, the members of the U.S....

This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...

We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal...

Sponsored search is the mechanism whereby where advertisers pay a fee to Internet search engines to be displayed alongside organic (non-sponsored) web search results. Based on prior literature, we draw an analogy between these markets and financial markets. We use the analogy as well as the key...