Now showing items 1-8 of 8

    • Are There Too Many Safe Securities? Securitization and the Incentives for Information Production 

      Hanson, Samuel Gregory; Sunderam, Aditya Vikram (2013-04-18)
      We present a model that helps explain several past collapses of securitization markets. Originators issue too many informationally insensitive securities in good times, blunting investor incentives to become informed. The ...
    • Essays in Financial Economics 

      Kirti, Divya (2016-04-25)
      The chapters in this dissertation study the incidence of risk, risk taking, and the role of markets used to trade risk, with a focus on interest-rate risk. In Chapter 1, I ask why bank-dependent firms bear interest-rate ...
    • An Evaluation of Money Market Fund Reform Proposals 

      Hanson, Samuel Gregory; Scharfstein, David Stuart; Sunderam, Aditya Vikram (2015-09-29)
      U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of considerable instability ...
    • The Growth and Limits of Arbitrage: Evidence from Short Interest 

      Hanson, Samuel Gregory; Sunderam, Aditya Vikram (Oxford University Press (OUP), 2013-10-07)
      We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross section of short interest, we document ...
    • Money Creation and the Shadow Banking System 

      Sunderam, Aditya Vikram (Oxford University Press (OUP), 2015)
      Many explanations for the rapid growth of the shadow banking system in the mid-2000s focus on money demand. This paper asks whether the short-term liabilities of the shadow banking system behave like money. We first present ...
    • Precautionary Savings in Stocks and Bonds 

      Pflueger, Carolin; Siriwardane, Emil Nuwan; Sunderam, Aditya Vikram (2017-03-23)
      We document a strong and robust relation between the one-year real rate and precautionary savings motives, as measured by the stock market. Our novel proxy for precautionary savings, based on the difference in valuations ...
    • Preference Elicitation in Proxied Multiattribute Auctions 

      Sunderam, Aditya Vikram; Parkes, David C. (Association for Computing Machinery, 2003)
      We consider the problem of minimizing preference elicitation in efficient multiattribute auctions, that support dynamic negotiation over non-price based attributes such as quality, time-of-delivery, and processor speed. ...
    • The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering 

      Hanson, Samuel; Sunderam, Adi (Massachusetts Institute of Technology Press (MIT Press), 2012)
      Nonparametric estimators of treatment effects are often applied in settings where clustering may be important. We provide a general methodology for consistently estimating the variance of a large class of nonparametric ...