This paper reviews the literature examining how costs of monitoring for, acquiring, and
analyzing firm disclosures–collectively,“disclosure processing costs”–affect investor …

This paper evaluates the literature on international unconventional monetary policies
(UMPs). Introducing market segmentation, limits-to-arbitrage, and time-consistent policy in …

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

The energy transition away from fossil fuels exposes companies to carbon‐transition risk.
Estimating the market‐based premium associated with carbon‐transition risk in a cross …

Using daily microdata, we document major outflows in corporate-bond funds during the
COVID-19 crisis. Large outflows were sustained over weeks and most severe for funds with …

We identify fixed-income mutual funds as an important contributor to the unusually high
selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual …

Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across
exchanges. These price deviations are much larger across than within countries, and …

This paper investigates whether Tether, a digital currency pegged to the US dollar,
influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms …

We document extreme disruption in debt markets during the COVID-19 crisis: a severe price
crash accompanied by significant dislocations at the safer end of the credit spectrum …

The methods of Gürkaynak et al.(2005a) are extended to separately identify surprise
changes in the federal funds rate, forward guidance, and large-scale asset purchases …