We survey theoretical developments in the literature on the limits of arbitrage. This literature
investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings …

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

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer
counterparties of the New York Federal Reserve—possess significant explanatory power for …

Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

Drawing upon more than 12 million observations over the period from 1996 to 2020, we find
that allowing for nonlinearities significantly increases the out-of-sample performance of …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

Using a large sample of US firms during 1964–2007, we find that conditional conservatism is
associated with a lower likelihood of a firm's future stock price crashes. This finding holds for …

We provide a model that links an asset's market liquidity (ie, the ease with which it is traded)
and traders' funding liquidity (ie, the ease with which they can obtain funding). Traders …

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 …

The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities
represented an unprecedented intervention in the Treasury market and provides a natural …