It is becoming increasingly common for investors to stratify portfolios into factors rather than
assets. This approach may be advantageous for a variety of reasons. For example, certain …

We propose a theoretical explanation for the puzzling positive pre-announcement drift that
has been empirically documented to occur before scheduled announcements, using as a …

We provide a theoretical framework to understand the implications of corporate governance
for the composition of the asset management industry. We allow investors to implement …

We propose a new test to distinguish between models of rational expectations and
differences-of-opinion. Our theoretical framework nests both types of models and enables us to study …

Abstract Information has a prominent role in financial markets and economic decisions.
Furthermore, information has the particular characteristic of being costly to interpret or process. …

Risk infuses everything we do so it goes almost without saying (but I’ll say it anyway) that risk
and retirement are highly intertwined topics. If we define what retirement researchers and …

Practical Applications Summary In Facts about Factors , published in the 2017 Special Issue
of The Journal of Portfolio Management, Paula Cocoma, Megan Czasonis, Mark Kritzman, …

I present a consumption-based asset pricing model in which the representative agent selectively
recalls past fundamentals that resemble current fundamentals and updates beliefs as if …

This dissertation is composed of three essays about the determinants and the consequences
of firms' disclosure of foreign internal capital (FIC), cash and investment into liquid financial …

This dissertation consists of three chapters that examine contexts where consumers' purchasing
decisions are dependent on other consumers' actions. Specifically, this work assesses …