We estimate risk-free interest rates unaffected by convenience yields on safe assets. We
infer them from risky asset prices without relying on any specific model of risk. We obtain …

In equity option markets, traders face margin requirements both for the options themselves
and for hedging-related positions in the underlying stock market. We show that these …

Deviations from the law of one price between futures and spot prices—the futures‐cash
basis—capture information about liquidity demand for equity market exposure in global …

A significant event for equity options since the 1987 stock market crash is the rise of credit
default swaps (CDS). We show that equity options of CDS-referenced firms are more …

Deviations from the law of one price between futures and spot prices, known as bases,
reflect the difference between interest rates implied in futures prices and benchmark …

In accordance with trade signals that operate in the market, we design a microfounded
structural model of price formation that features partially informed and noise traders. The …

This study shows that fitting errors of equity-option-implied volatility surfaces are informative
about intermediary frictions. For each stock and day, we quantify the goodness of fit between …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on
agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk …

Hedge funds with larger macroeconomic-risk betas do not earn higher returns, in contrast to
the theoretically predicted risk-return trade-off. Meanwhile, high macro-beta funds deliver …

I show that hedge funds with a high exposure to market-wide funding shocks-measured by
changes in LIBOR-OIS spreads-subsequently underperform funds with a low exposure to …