Published and Forthcoming Papers
The Price Impact and Survival of Irrational Traders
with Leonid Kogan,
Stephen Ross, and
Journal of Finance 61(1), February 2006: 195-229
Winner of the Financial Asset Management and Engineering (FAME) Research Prize for 2004
Winner of the Smith-Breeden Prize, First Place for 2006 (Awarded by the American Finance Association)
Price impact and survival are two independent concepts; neither is
sufficient for the other. In a simple GE economy, we demonstrate that
irrational traders can survive and/or have price impact.
High Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and
with Stavros Panageas
Journal of Finance 64(1), February 2009: 1-36
With an indefinite horizon, convex compensation (e.g. high-water marks and
other "option-like" contracts) do not generate unbounded risk-taking. In a
simple portfolio choice model, we show that risk neutral managers act as
Disagreement and Learning in a Dynamic Contracting Model
with Tobias Adrian
Review of Financial Studies 22(10), October 2009: 3839-3871
Winner of the CRA International Prize for 2007 (Awarded by the Western Finance Association)
We present a dynamic contracting model with disagreement and learning. The
interaction between incentive provision and learning creates an
intertemporal source of “disagreement risk” that alters optimal risk
Portfolio Choice with Illiquid Assets
with Andrew Ang and
Management Science 60(11), November 2014: 2737-2761
Winner of the Roger F. Murray Prize, Second Place for 2011 (Awarded by the Q-group)
We present a simple model of illiquidity based on trading restrictions of
uncertain duration. Uncertainty over trading opportunities is much more important than the simple
inability to trade.
Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect
with David H. Solomon and
Journal of Finance, Forthcoming
Investors in most assets are more likely to sell gains than losses, but mutual fund investors do the opposite.
Using brokerage data and an experiment, we argue that cognitive dissonance can explain these results and the effects of delegation more generally.
Resource Accumulation Through Economic Ties: Evidence from Venture Capital
with Yael Hochberg and
Early versions were titled "Economic Ties: Evidence from Venture Capital
"Partner Selection in Co-Investment Networks: Evidence from Venture Capital".
Journal of Financial Economics, Forthcoming
We characterize VC firm resources using factor analysis, and we develop a methodology to distinguish motives for coinvestment. Coinvestment is not based on resource similarity; instead
it serves to mix value-added resources with capital.
with Leonid Kogan, Stephen Ross, and
Under Review, R&R
We establish straightforward necessary and sufficient conditions for agents
making inferior forecasts to survive and to affect prices in a general
setting with minimal restrictions on endowments, beliefs, or utility
Optimal Dynamic Contracts with Moral Hazard and Costly Monitoring
with Tomasz Piskorski
Under Review, R&R
We introduce a tractable dynamic monitoring technology into a continuous-time moral-hazard problem. Our results help
explain empirical findings on the linkage between termination, performance, pay-performance sensitivity, and monitoring.
Commitment Risk in Private Partnerships
with Ludovic Phalippou
Awarded Netspar Research Grant RG2012.04
FIN 460, Investments.
FIN 502, Business Finance.
Updated March 3, 2015