Alberto Mokak Teguia
My broad areas of research interest are behavioral finance, institutional investors, liquidity, and OTC markets.
Publications
When large, strategic investors internalize their price impact,
non-competitive markets can be more liquid than competitive ones, and capital flows toward
risk-averse investors can lower safe-asset prices in flight-to-safety episodes.
Journal of Finance, forthcoming
Option bid–ask spreads track higher moments of payoffs and can move
in directions conventional wisdom would not predict.
Review of Financial Studies, 2023, 36(5):2131–2173
Post-trade transparency forces costly signaling by dealers, lowering spreads
and raising volume—and can benefit dealers as well as investors.
Journal of Financial and Quantitative Analysis, 2020, 55(1):47–75
Investors with increasing relative risk aversion optimally reduce risky-asset
holdings as they age, supporting common life-cycle investment advice.
Mathematics and Financial Economics, 2019, 13(2):287–302
Jointly estimating risk aversion and trading costs; short-selling costs for
Treasuries help resolve the risk-free-rate puzzle.
Economics Letters, 2017, 154:24–27
Working Papers
How autocratic restrictions on property rights—limits on emigration and
the power to expropriate—shape debt financing of infrastructure and credit spreads.
Joint price formation in the dealer-to-dealer and dealer-to-customer segments
of the FX market, accounting for dealer heterogeneity and market power.
A complete-market Lucas economy with rare disasters in which investors revise
disaster beliefs lazily; option-implied tails recover a wealth-weighted belief aggregate rather
than the physical disaster rate, and the term structure of the tail reveals the survival records
behind those beliefs.
A continuous-time model of belief revision under Ortoleva’s (2012)
hypothesis-testing rule, in which the record a belief has survived—not the belief
itself—governs the hazard of its revision, with implications for expectation formation
and asset pricing.
With large investors and many risky assets, liquidity risk is priced in
equilibrium, generating deviations from the consumption-CAPM.
Law of Small Numbers and Hysteresis in Asset Prices and Portfolio Choices
Believing small samples are representative produces hysteresis in beliefs—and,
in turn, the disposition effect, momentum, and reversals.
Information asymmetry makes potential predators more likely to provide liquidity
than to trade predatorily against a distressed trader, helping stabilize illiquid markets.