Journal articleJournal of Finance · June 1, 2026
We propose a theory of coordination and influence among blockholders. Privately informed activists time their trades in sequence to lower acquisition costs, prompting a strategic use of order flows: leader activists create trading gains for their followers ...
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Journal articleJournal of Finance · April 1, 2020
We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within ...
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Journal articleJournal of Financial Economics · February 1, 2014
Both financing and risk management involve promises to pay that need to be collateralized, resulting in a financing versus risk management trade-off. We study this trade-off in a dynamic model of commodity price risk management and show that risk managemen ...
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Journal articleJournal of Financial Economics · August 1, 2013
We develop a dynamic model of investment, capital structure, leasing, and risk management based on firms' need to collateralize promises to pay with tangible assets. Both financing and risk management involve promises to pay subject to collateral constrain ...
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Journal articleJournal of Finance · February 1, 2011
Financial firms raise short-term debt to finance asset purchases; this induces risk shifting when economic conditions worsen and limits their ability to roll over debt. Constrained firms de-lever by selling assets to lower-leverage firms. In turn, asset-ma ...
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Journal articleJournal of Finance · December 1, 2010
Collateral constraints imply that financing and risk management are fundamentally linked. The opportunity cost of engaging in risk management and conserving debt capacity to hedge future financing needs is forgone current investment, and is higher for more ...
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Journal articleDecision Sciences · May 1, 2010
Research has shown that both product-process technology (PPT) integration and supply chain integration efforts produce operational benefits, yet synergies between these types of integration are not well understood. This article empirically examines strateg ...
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Journal articleJournal of Finance · February 1, 2010
Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect o ...
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Journal articleJournal of Financial Economics · June 1, 2009
How does trust evolve in markets? What is the optimal level of regulation and how does this affect trust formation and economic growth? In a theoretical model, we analyze these questions, given the value of social capital and the potential for growth in th ...
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Journal articleReview of Financial Studies · April 1, 2008
We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided tha ...
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Journal articleJournal of Finance · October 1, 2007
We describe how episodic illiquidity arises from a breakdown in cooperation between market participants. We first solve a one-period trading game in continuous-time, using an asset pricing equation that accounts for the price impact of trading. Then, in a ...
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Journal articleInternational Economic Review · August 1, 2007
We characterize incentive-efficient merger outcomes when payments can be made both in cash and stock. Each firm has private information about both its stand-alone value and a component of the (possibly negative) potential synergies. We study two cases: whe ...
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Journal articleRAND Journal of Economics · December 1, 2005
In many auctions, bidders do not have enough cash to pay their bid. If bidders have asymmetric cash positions and independent private values, then auctions will be inefficient. However, what happens if bidders have access to financial markets? We character ...
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Journal articleJournal of Financial Economics · September 1, 2005
To test recent theories suggesting that valuation errors affect merger activity, we develop a decomposition that breaks the market-to-book ratio (M/B) into three components: the firm-specific pricing deviation from short-run industry pricing; sector-wide, ...
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Journal articleJournal of Business · October 1, 2004
We compare the following multi-stage inter-dealer trading mechanisms: a one-shot uniform-price auction, a sequence of unit auctions (sequential auctions), and a limit-order book. With uninformative customer orders, sequential auctions are revenue-preferred ...
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Journal articleJournal of Finance · January 1, 2004
Does valuation affect mergers? Data suggest that periods of stock merger activity are correlated with high market valuations. The naïve explanation that overvalued bidders wish to use stock is incomplete because targets should not be eager to accept stock. ...
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Journal articleJournal of Financial Markets · January 1, 2002
We analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure that combines the two. The customer's sell order is competed for and divided among a finite number of risk-averse market makers. We pres ...
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Journal articleMathematical Finance · January 1, 2001
We derive necessary and sufficient conditions for a linear equilibrium in three types of competitive market making models: Kyle type models (when market makers only observe aggregate net order flow), Glosten-Milgrom and Easley-O'Hara type models (when mark ...
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Journal articleJournal of Finance · January 1, 2000
This paper extends the theory of non-cash auctions by considering the revenue and efficiency of using different securities. Research on bankruptcy and privatization suggests using non-cash auctions to increase cash-constrained bidder participation. We exam ...
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Journal articleJournal of Finance · October 1, 1999
The practices of preferencing and internalization have been alleged to support collusion, cause worse execution, and lead to wider spreads in dealership style markets relative to auction style markets. For a sample of London Stock Exchange stocks, we find ...
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Journal articleReview of Financial Studies · January 1, 1999
In dealership markets disclosure of size and price details of public trades is typically incomplete. We examine whether full and prompt disclosure of public-trade details improves the welfare of a risk-averse investor. We analyze a model of dealership mark ...
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Journal articleJournal of Finance · January 1, 1998
Using London Stock Exchange data, we test the central implication of the canonical model of Ho and Stoll (1983) that relative inventory differences determine dealer behavior. We find that relative inventories explain which dealers obtain large trades and s ...
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Journal articleJournal of Finance · January 1, 1996
We analyze a multi-period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long-term value of the asset, and the different signals received b ...
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Journal articleJournal of Business and Economic Statistics · January 1, 1995
We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the ...
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Journal articleJournal of Finance · January 1, 1993
Patterns in stock market trading volume, trading costs, and return volatility are examined using New York Stock Exchange data from 1988. Intraday test results indicate that, for actively traded firms trading volume, adverse selection costs, and return vola ...
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Journal articleJournal of Finance · January 1, 1993
We argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price ...
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Journal articleJournal of Finance · January 1, 1993
This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires ...
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