Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang ♦ We study trading among strategic traders who may incorrectly assess the degree of market crowdedness. These mistakes distort equilibrium strategies and prices. When traders underestimate market crowdedness, they target larger inventories…
Natasha Burns, Kristina Minnick, Jeffry Netter, and Laura Starks ♦ Employing a cross-country sample, we examine how a population’s underlying cultural values help explain gender compensation variation across corporate executives. The results show that the cultural differences embedded in societies…
Heitor Almeida, Ruidi Huang, and Yuhai Xuan ♦ This paper documents a trend of declining flexibility in share repurchase policies over the last four decades. Share repurchases have become particularly sticky for firms that have repurchase programs in place. We…
Niclas Käfer, Mathis Mörke, and Tobias Wiest ♦ We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite…
Gary B. Gorton, Elizabeth C. Klee, Chase P. Ross, Sharon Y. Ross, and Alexandros P. Vardoulakis ♦ Stablecoins are a new form of private money. They are fragile but largely trade at par. How? We present a model and empirical…
Joost Driessen, Joren Koeter, and Ole Wilms ♦ We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel, and decompose long-term…
