• Publications
  • Influence
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minuteExpand
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Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Funds
We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to EurozoneExpand
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The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps
Existing cross-sectional findings on nonfinancial firms’ use of derivatives that are usually interpreted as the result of hedging may alternatively be due to speculation. Panel data examinations canExpand
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The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk
Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide rangeExpand
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Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors with claims that are more liquid than the underlying assets, funds engage inExpand
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The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market
We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available toExpand
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The Real Consequences of Market Segmentation
We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables,Expand
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The Rise and Fall of Demand for Securitizations
Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however,Expand
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The Rise and Fall of Securitization
The rise and fall of nontraditional securitizations—collateralized debt obligations and mortgagebacked securities backed by nonprime loans—played a central role in the financial crisis. Little isExpand
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Mutual Funds as Venture Capitalists? Evidence from Unicorns
Using novel contract-level data, we study the recent trend in open-end mutual funds investing in unicorns—highly valued, privately held start-ups—and the consequences of these investments forExpand
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