Now showing items 1-16 of 16

    • Agency Costs, Mispricing, and Ownership Structure 

      Chernenko, Sergey; Foley, C. Fritz; Greenwood, Robin Marc (Wiley Online, 2012)
      Standard theories of corporate ownership assume that because markets are efficient, insiders ultimately bear all agency costs that they create and therefore have a strong incentive to minimize conflicts of interest with ...
    • Asset Price Dynamics in Partially Segmented Markets 

      Greenwood, Robin; Hanson, Samuel; Liao, Gordon Y (Oxford University Press (OUP), 2018-09)
      We develop a model in which capital moves quickly within an asset class but slowly between asset classes. While most investors specialize in a single asset class, a handful of generalists can gradually reallocate capital ...
    • Bond Supply and Excess Bond Returns 

      Greenwood, Robin Marc; Vayanos, Dimitri (Oxford University Press (OUP), 2014)
      We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for ...
    • A Comparative-Advantage Approach to Government Debt Maturity 

      Greenwood, Robin Marc; Hanson, Samuel Gregory; Stein, Jeremy C. (Wiley-Blackwell, 2015-02-19)
      We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a setting where the government is the only issuer of such riskless paper, it ...
    • Expectations of Returns and Expected Returns 

      Greenwood, Robin Marc; Shleifer, Andrei (Oxford University Press (OUP), 2014)
      We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with ...
    • Extrapolation and bubbles 

      Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei (Elsevier BV, 2018-08)
      We present an extrapolative model of bubbles. In the model, many investors form their demand for a risky asset by weighing two signals: an average of the asset’s past price changes and the asset’s degree of overvaluation. ...
    • The Growth of Finance 

      Greenwood, Robin; Scharfstein, David (American Economic Association, 2013)
      The U.S. financial services industry grew from 4.9% of GDP in 1980 to 7.9% of GDP in 2007. A sizeable portion of the growth can be explained by rising asset management fees, which in turn were driven by increases in the ...
    • Issuer Quality and Corporate Bond Returns 

      Greenwood, Robin Marc; Hanson, Samuel Gregory (Oxford University Press (OUP), 2013)
      We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing ...
    • Leverage, Derivatives, and Asset Markets 

      Yang, David Cherngchiun (2015-05-14)
      This dissertation consists of three independent essays on the relationship between leverage, derivatives (especially, option securities), and asset markets. Chapter 1, "Does the Tail Wag the Dog? How Options Affect Stock ...
    • A Model of Credit Market Sentiment 

      Greenwood, Robin Marc; Hanson, Samuel Gregory; Jin, Lawrence J. (2016-08-22)
      We present a model of credit market sentiment in which investors form beliefs about future creditworthiness by extrapolating past defaults. Our key contribution is to model the endogenous two-way feedback between credit ...
    • Price Pressure in the Government Bond Market 

      Greenwood, Robin; Vayanos, Dimitri (American Economic Association, 2010-05)
    • Rainy Day Stocks 

      Gormsen, Niels; Greenwood, Robin Marc (2017-01-18)
      We study the good- and bad-times performance of equity portfolios formed on characteristics. Many characteristics associated with good performance during bad times – value, profitability, small size, safety, and total ...
    • Sizing Up Corporate Restructuring in the COVID Crisis 

      Greenwood, Robin; Iverson, Benjamin; Thesmar, David
      In the wake of the COVID-19 pandemic, the financial and legal system will need to deal with a surge of financial distress in the business sector. Some firms will be able to survive, while others will face bankruptcy and ...
    • The Growth of Index Investing & Financial Markets 

      Rangarajan, Arun G. (2017-07-14)
      Has the growth of index investing contributed to distortions in equity markets? Over the past eight years, assets under management in index-linked investments has increased five-fold. I study the link between capital flows ...
    • Vulnerable Banks 

      Greenwood, Robin Marc; Landier, Augustin; Thesmar, David (Elsevier, 2014-11-25)
      We present a model in which fire sales propagate shocks across bank balance sheets. When a bank experiences a negative shock to its equity, a natural way to return to target leverage is to sell assets. If potential buyers ...
    • X-CAPM: An Extrapolative Capital Asset Pricing Model 

      Barberis, Nicholas; Greenwood, Robin Marc; Jin, Lawrence; Shleifer, Andrei (National Bureau of Economic Research, 2013)
      Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a ...