PUBLISHED AND FORTHCOMING ARTICLES
“The Value of Control and the Costs of Illiquidity,” (with Enrique Schroth) First version July 2012. Forthcoming at Journal of Finance. Awarded a KPMG Global Valuation Institute grant on 2011. Online appendix.
First estimates of the marketability discount in large controlling blocks.
“Advance Information and Asset Prices,” (with Jianjun Miao) current version September 2012. Accepted for publication at Journal of Economic Theory.
Momentum in stock returns arises when information about future earnings drives both stock returns and liquidity trades by some investors.
Studies the agency problem that arises when CEOs are the main promoters of governance mechanisms.
“Skewness in Stock Returns: Reconciling the Evidence on Firm versus Aggregate Returns,” Review of Financial Studies 25, 1630-1673, 2012. Online appendix with proof that firm returns are positively skewed.
Proposes a theory for why firm stock returns are positively skewed and aggregate stock returns are negatively skewed based on the properties of firm announcement events.
“Quantifying private benefits of control from a structural model of block trades,” (with Enrique Schroth) Journal of Financial Economics 96, 33-55, 2010.
Presents the first estimates of private benefits of control and associated deadweight losses.
“Comment on: Optimal taxation in the presence of bailouts,” Journal of Monetary Economics 57, 117-119, 2010.
“Global Private Information in International Equity Markets,” (with Greg Bauer and Martin Schneider) Journal of Financial Economics 94, 18-46, 2009.
First paper documenting a global return chasing pattern in stock returns by US investors and presents theory that rationalizes this and other properties of international equity flows and returns.
“Economic News and International Stock Market Co-Movement,” (with Clara Vega) Review of Finance 13, 401-465, 2009 (lead article).
Documents co-movement across markets based on economic fundamentals.
“Marketwide Private Information in Stocks: Forecasting Currency Returns,” (with Eva de Francisco and Luis Marques) The Journal of Finance 63, 2297-2343, 2008.
Documents a component of equity order flow that is due to marketwide private information.
Models the investment and asset pricing consequences of having controlling shareholders.
“The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence” Economics Letters 99, 461-464, 2008.
Shows that time fixed-effects can explain the forward premium anomaly and provides a rationale for the fixed-effects.
“International Equity Flows and Returns: A Quantitative Equilibrium Approach”, (with Greg Bauer and Martin Schneider) The Review of Economic Studies 74, 1-30, 2007. Appendix to “International Equity Flows and Returns” here.
First calibrated model explaining international portfolio allocation and returns.
“Optimal Currency Hedging”, Global Finance Journal 18, 16-33, 2007.
Proves that forward contracts are better hedges of downside risk than option contracts when exposure is certain.
“World Market Integration Through the Lens of Foreign Direct Investors,” (with Norman Loayza and Luis Servén) Journal of International Economics 66, 267-295, 2005 (lead article).
First paper to document globalization trends using foreign direct investment flows.
“Optimal Lending Contracts and Firm Dynamics”, (with Hugo Hopenhayn) The Review of Economic Studies 71, 285-315, 2004.
Models investment and dividend policies in the presence of endogenous financial frictions.
“The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment,” Journal of International Economics 61, 353-383, 2003.
Paper presents new evidence that foreign direct investment is linked to a country's degree of financial constraints and explains why foreign direct investment is less volatile than other flows.
“On the Dynamics of Trade Reform,” (with Sergio Rebelo) Journal of International Economics 51, 21-47, 2000.
Models the implication of fixed costs in delaying the effects of trade reforms.