Essays on institutional investors, portfolio choice, and asset prices
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"A Preferred‐Habitat Model of the Term Structure of Interest Rates,"
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"Cyclical investment behavior across financial institutions,"
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"Estimating Security Betas Using Prior Information Based on Firm Fundamentals,"
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"The role of institutional investors in propagating the crisis of 2007–2008,"
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"The Impact of Pensions and Insurance on Global Yield Curves,"
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"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
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"Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing?,"
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"Bond Supply and Excess Bond Returns,"
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"Optimal Decentralized Investment Management,"
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"Portfolio Choice with Illiquid Assets,"
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"Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?,"
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"Intermediary Asset Pricing,"
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"Liquidity Risk and Expected Stock Returns,"
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"The Arbitrage Theory of Capital Asset Pricing,"
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"Betting against beta,"
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"The Performance of Private Equity Funds,"
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"Slow Moving Capital,"
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"The Hunt for Duration: Not Waving but Drowning?,"
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"Asset fire sales (and purchases) in equity markets,"
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"Pricing Liquidity Risk with Heterogeneous Investment Horizons,"
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"Do a firm's equity returns reflect the risk of its pension plan?,"
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"Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt,"
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"Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,"
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"Inspecting the mechanism of quantitative easing in the euro area,"
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"Forced Sales and House Prices,"
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