We model the dynamics of risk premia during crises in asset markets where the marginal
investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

We build a simple model of leveraged asset purchases with margin calls. Investment funds
use what is perhaps the most basic financial strategy, called 'value investing', ie …

I develop an agency model where returns-chasing behavior by mutual fund investors causes
beta not to be priced to the degree predicted by the standard CAPM. Mutual fund investors …

We analyze the flow of money between mutual fund categories, finding strong evidence of
seasonality in investor risk aversion. Aggregate investor flow data reveal an investor …

In 1940 few Americans had heard of mutual funds. Today US mutual funds are the largest
financial industry in the world, with over 88 million shareholders and over $11 trillion in …

The relationship of stock market returns with components of aggregate equity mutual fund
flows (new sales, redemptions, exchanges-in, and exchanges-out) is examined. Vector …

We use a simple agent based model of value investors in financial markets to test three
credit regulation policies. The first is the unregulated case, which only imposes limits on …

Hardie investigates the link between the financialization–defined as the ability to trade risk–
and the capacity of emerging market governments to borrow from private markets. He …

This study examines the effects of capital flows into the REIT sector on REIT returns and,
simultaneously, the effects of REIT returns on subsequent REIT capital flows. The dynamic …