Working Papers

Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?, with Vikas Agarwal, Rabih Moussawi, and Christof Stahel.

Political Contributions and the Price of Credit Risk: Evidence from Credit Default Swaps, with Shunlan Fang, Alexei Ovtchinnikov, and Saumya Prabhat.

Policy Papers

Because granular, systematic information is not readily available on the extent to which investment companies registered under the Investment Company Act of 1940 (including open-end and closed-end funds, and business development companies) currently use derivatives in pursuing their investment strategies, the paper presents analyses of funds’ current derivatives use based on hand-collected information from Form N-CSR filed for 2014 for a stratified random sample of 10% of registered funds (a total of 1,188 funds). The paper focuses on derivatives positions that implicate Section 18 of the Investment Company Act, along with information on financial commitment transactions and other transactions involving “senior securities.” The paper finds, among other things, that while most funds use no or no substantial amount of derivatives, certain funds do use derivatives extensively. Certain funds that make greater use of derivatives have received a disproportionately large share of fund inflows since the end of 2010.

We examine the U.S. mutual fund industry with particular attention paid to fund flows, the liquidity of fund portfolios, and the interaction of those characteristics. Mutual funds in investment categories that hold potentially less liquid assets are growing quickly and often have volatile flows. Alternative strategies have both highest average net flow and highest average net flow volatility of any investment category. Among many other empirical results, we show that the liquidity of the equity portfolio of U.S. equity funds is greater when flow volatility is greater and that the liquidity of those same portfolios decreases after large outflows.


The Fast and the Curious: VC Drift. Journal of Financial Services Research (2020), with Amit Bubna and Sanjiv Das.

Contagion effects in strategic mortgage defaults. Journal of Financial Intermediation (2017), with Ryan Goodstein, Carlos Ramirez and Christof Stahel.

Value of Corporate Control: Some International Evidence. Journal of Investment Management (2013), with Alan C. Shapiro and Atulya Sarin.

Run-lengths and liquidity. Annals of Operations Research (2010), with Sanjiv Das.

Implied recovery. Journal of Economic Dynamics and Control (2009), with Sanjiv Das.

Accounting-based vs. market-based models of CDS spreads. Journal of Banking and Finance (2009), with Sanjiv Das and Atulya Sarin.

Hedging credit: Equity liquidity matters. Journal of Financial Intermediation (2009), with Sanjiv Das.

Credit Default Swap Spreads. Journal of Investment Management (2006), with Sanjiv Das.

Is there a dark side to incentive compensation? Journal of Corporate Finance (2006), with David Denis and Atulya Sarin.

Chapters and Monographs

Recovery Rate, with S.R. Das. 2010.
Encyclopedia of Quantitative Finance John Wiley & Sons, Ltd., UK

Recovery Rate Swaps, with S.R. Das. 2010.
Encyclopedia of Quantitative Finance John Wiley & Sons, Ltd., UK