Bradyn Breon-Drish

Assistant Professor of Finance

Stanford Graduate School of Business

Contact information


Phone: (650) 725-1901

Stanford Graduate School of Business

Knight Management Center

655 Knight Way

Stanford, CA 94305-7298

Curriculum Vitae: pdf

Research interests

  1. Asymmetric information and trading in financial markets

  2. Market microstructure

Working papers

On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models

  1. (Accepted at Review of Economic Studies. Partially subsumes the earlier working paper “Asymmetric Information in Financial Markets: Anything Goes.”)

  2. Online Appendix.

  3. I study a general class of noisy rational expectations models that nests the standard Grossman and Stiglitz (1980) and Hellwig (1980) models, but relaxes the usual assumption of joint normality of asset payoffs and supply, and allows for more general signal structures. I provide a constructive proof of existence of equilibrium, characterize the price function, and provide sufficient conditions for uniqueness within the class of equilibria with continuous price functions, which are met by both the Grossman and Stiglitz (1980) model and the Hellwig (1980) model with a continuum of investors. My solution approach does not rely on the typical "conjecture and verify" method, and I exhibit a number of non-normal examples in which asset prices can be characterized explicitly and in closed form. The results presented here open up a broad class of models for applied work. To illustrate the usefulness of generalizing the standard model, I show that in settings with non-normally distributed payoffs, shocks to fundamentals may be amplified purely due to learning effects, price drifts can arise naturally, and the disagreement-return relation depends in a novel way on return skewness.

Do Fund Managers Make Informed Asset Allocation Decisions? (with Jacob Sagi)

  1. (Under revision for resubmission to Journal of Financial Intermediation)

  2. Based on a dynamic model of informed asset allocation, we identify a holdings-based measure of a manager's forecast for future market returns. The model also predicts that the variance of this measure should be indicative of the manager's ability: The higher the variance, the greater the ability. We test this on a large dataset of mutual fund domestic equity holdings and find strong evidence that, across mutual fund managers, our holdings-based measure appears to contain information for future market returns. Moreover, as the model predicts, where timing ability can be detected the variability of our measure is positively related to timing ability.

Work in progress

Strategic Trading and Return Predictability (11/28/14: new version coming soon!)

The Value of Information in Financial Markets with Non-Gaussian Shocks

  1. (Partially subsumes the earlier working paper “Asymmetric Information in Financial Markets: Anything Goes.”)

Wealth and Trading Activity in a Dynamic Asset Pricing Model

Dynamic Information Acquisition (with Snehal Banerjee and Brett Green)

Selected Professional Affiliations

  1. Finance Theory Group