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Bond Supply and Excess Bond Returns
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles withExpand
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Investor Activism and Takeovers
Recent work documents large positive abnormal returns when a hedge fund announces activist intentions regarding a publicly listed firm. We show that these returns are largely explained by the abilityExpand
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Issuer Quality and Corporate Bond Returns
Changes in the pricing of credit risk disproportionately affect the debt financing costs faced by low credit quality firms. As a result, time-series variation in the average quality of debt issuersExpand
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The Maturity of Debt Issues and Predictable Variation in Bond Returns
The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes inExpand
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Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights
Relative to their weights in a value-weighted index, a number of stocks in Japan's Nikkei 225 stock index are overweighted by a factor of 10 or more. I document a strong positive relation betweenExpand
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A Comparative-Advantage Approach to Government Debt Maturity
We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a simple setting where the government is the only issuerExpand
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Price pressure in the government bond market
What determines the term structure of interest rates? Standard economic theory links the interest rate for maturity T to the willingness of a representative agent to substitute consumption betweenExpand
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Stock Price Fragility
We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An assetExpand
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The Growth of Modern Finance
The U.S. financial services industry grew from 4.9% of GDP in 1980 to 7.9% of GDP in 2007. A sizeable portion of the growth can be explained by rising asset management fees, which in turn were drivenExpand
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The Evolution of Corporate Ownership after IPO: The Impact of Investor Protection
Recent research documents that ownership concentration is higher in countries with weak investor protection. However, drawing on panel data on corporate ownership in 34 countries between 1995 andExpand
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