For my latest working papers, please visit my SSRN page.  There is a paper on how collateralized debt can cause bubbles, and another on explaining fire sales of financial assets.

Below you'll find download links for my publications, some current working papers, and also (at the bottom of the page) some papers that remain unpublished, but people ask me for from time to time.



1. "Contractual incompleteness, limited liability and asset price bubbles," with Jungsuk Han, Journal of Financial Economics, Vol. 116, Issue 2, pp 383-409, May 2015. 

2. "Boards, CEO Entrenchment and the Cost of Capital," Journal of Financial Economics, Vol. 110, Issue 3, pp 680-695, December 2013. 

3. "CEO Compensation, Change, and Corporate Strategy," with Clara Raposo, Journal of Finance, Vol. 560, no. 6, pp 2701-2727, December 2005.

4. "Equilibrium Investment and Asset Prices under Imperfect Corporate Control," previously entitled "Corporate Finance and Asset Pricing," with Gary Gorton and Arvind Krishnamurthy (Best paper award in corporate finance at the WFA 2003) American Economic Review vol.93, no.3, pp 659-681, June 2005.

5. "Is Liquidity self-fulfilling?", previously entitled "Self-sustaining Liquidity in an Asset Market with Asymmetric Information," Journal of Business, vol. 77, number 4, pp 895-908, October 2004.

6. "Informed Trading, Investment, and Economic Welfare", with Rohit Rahi, Journal of Business, vol. 76, no. 3, pp 430-454, 2003.

7. "What is Systemic Risk? Moral hazard, initial shocks and propagation," Monetary and Economic Studies, Vol.18, No.2, December 2000, 1-24.

8. "Should Speculators be Taxed?", with Rohit Rahi, Journal of Business, January 2000, vol. 73, no.1, pp 89-107. 2 Last revised: September 2006

9. "Arbitrage, Hedging, and Financial Innovation", Review of Financial Studies vol 11 no 4, 1998, pp739-755.

10. Comments on "Banks, Markets and the Allocation of Risk in an Economy" by Martin Hellwig, Journal of Institutional and Theoretical Economics (Zeitschrift für die gesamte Staatswissenschaft), Vol. 154, No.1, March 1998, 346-351.

11. "Noise Trading, Delegated Portfolio Management, and Economic Welfare", with Gary Gorton, Journal of Political Economy, Vol. 105, No. 5, October 1997, pp 1024-1050.

12. "Stock Market Efficiency and Economic Efficiency: Is There a Connection?", with Gary Gorton, Journal of Finance, Vol.52, No.3, July 1997, pp 1087-1129.

13. "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing", with Gary Gorton, Journal of Economic Theory, Vol. 67, No.2, November 1995.

14. "Lending Resumption in a Reputational Model of Sovereign Debt", with Harold L Cole and William B English, International Economic Review, Vol.36, No.2, May 1995, pp 365-385.

15. "Nash Equilibrium under Knightian Uncertainty: Breaking Down Backward Induction", with Sérgio Ribeiro da Costa Werlang, Journal of Economic Theory, Vol. 64, No.2, December 1994, pp 304-324. Download Initial Draft with additional results.

16. "Arbitrage Chains," with Gary Gorton, Journal of Finance, Vol.49, No. 3, July 1994, pp 819-849. Reprinted in Bruno Biais and Marco Pagano (Eds.), New Research in Financial Markets, Oxford University Press and CEPR, 2001.

17. "The Return on the Market and the Social Discount Rate: A Note on Welfare in an Overlapping Generations Model", with Gary Gorton, March 1993, Economics Letters, Vol. 43, No.1, November 1993, pp 23-26.

18. "Trading, Communication and the Response of Asset Prices to News", with Gary Gorton, Economic Journal, Vol.103, No.418, May 1993, pp 639-646.

19. "Uncertainty Aversion, Risk Aversion and the Optimal Choice of Portfolio", with Sérgio Ribeiro da Costa Werlang, Econometrica, Vol. 60, No.1, January 1992, pp 197-204. Reprinted in Itzhak Gilboa (Ed.) Uncertainty in Economic Theory: Essays in Honor of David Schmeidler's 65th Birthday, Routledge Frontiers of Political Economy, 63, 2004.

20. "Excess Volatility of Stock Prices and Knightian Uncertainty", with Sérgio Ribeiro da Costa Werlang, European Economic Review, Vol.36, 1992, pp 631-638.

21. "The Ex-ante Non-optimality of the Dempster-Shafer Updating Rule for Ambiguous Beliefs", with Sérgio Ribeiro da Costa Werlang, in Yoram Moses (ed) Proceedings of the Fourth Conference on Theoretical Aspects of Reasoning about Knowledge, San Mateo, CA: Morgan Kaufman Publishers,1992, pp 163-166.

22. "Homothetic Preferences", with Sérgio Ribeiro da Costa Werlang, Journal of Mathematical Economics, Vol. 21, 1992, pp 389-394.

23. "Search Decisions with Limited Memory", Review of Economic Studies, Vol 58, No 1, January 1991, pp 1-14.

24. "The Consistency of Welfare Judgements with a Representative Consumer", with Sérgio Ribeiro da Costa Werlang, Journal of Economic Theory, Vol.44, No.2, April 1988, pp 269-280.

25. "Samuelson and Chipman-Moore on Utility-Generated Community Demand", with Hugo Sonnenschein, in Maurice H Peston and Richard E Quandt (eds): Prices, Competition and Equilibrium: Essays in Honour of William J Baumol, Oxford: Philip Allan, 1986. 3 Last revised: September 2006


Current Research

1. "Leaders and followers," with Clara Raposo.

2. "Organisational Change," with Enrico Perotti

3. "Commitment to overinvest," with Itay Goldstein and Alexander Guembel.


Unpublished Working Papers

1. "Financing Securities Trading", with Nathalie Rossiensky, November 2001. Previously entitled "The Cost of Debt for a Financial Firm," (1999).

2. "Learning Under Knightian Uncertainty: The Laws of Large Numbers for Non-additive Probabilities", with Sérgio Ribeiro da Costa Werlang, 1994.

3. "Knightian-Rational Expectations, Inflationary Inertia and Money Neutrality", with Mario Henrique Simonsen and Sérgio Ribeiro da Costa Werlang, 1993.

4. "Preferences, Common Knowledge and Speculative Trade", with Vicente Madrigal and Sérgio Ribeiro da Costa Werlang, London Business School, 1990. (Previously entitled "No Trade Theorems and Non-Bayesian Behavior")

5. "Almost Competitive Price Dispersion", CARESS - University of Pennsylvania, 1987.

6. "A Note on Almost Competitive Price Dispersion", 1987.

7. "Arbitrator and Negotiator Behavior under an Appellate System", with Orley A Ashenfelter and Daniel G Gallagher, 1986.