We develop a framework to theoretically and empirically analyze the fluctuations of the
aggregate stock market. Households allocate capital to institutions, which are fairly …

Environmental, social, and governance (ESG) objectives have risen to near the top of the
agenda for corporate executives and boards, driven in large part by their perceptions of …

We show that mutual fund investors rely on simple signals and likely do not engage in
sophisticated learning about managers' alpha as widely believed. Simplistic performance …

I show that the returns from sustainable investing are strongly driven by price pressure from
flows towards sustainable funds, causing high realized returns that do not reflect high …

Large institutional investors own an increasing share of the equity markets in the United
States. The implications of this development for financial markets are still unclear. The paper …

We demonstrate that predictable uninformed cash flows forecast market and individual stock
returns. Buying pressure from dividend payments (announced weeks prior) predicts higher …

We provide a model of endogenous asset price spirals and severe aggregate demand
contractions following a large supply shock. The key mechanism stems from the drop in the …

We theoretically investigate the interaction of endogenous risk intolerance and monetary
policy following a large recessionary shock. As asset prices dip, risk-tolerant agents' wealth …

Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the
fraction of stock market investors holding survey beliefs. We find that 42% of investors hold …

We use the entropy balancing method to study the impact of sustainability labels on mutual
fund flows and returns. We compare the informativeness of the ESG risk metrics developed …