Learning in Crowded Markets

Peter Kondor , Adam Zawadowski   Mar 12,2018

We study a capital reallocation problem in which  investors can enter into a new market where they compete with each other... Read More

Dynamic Asset Allocation with Hidden Volatility

Mark Westerfield , Felix Zhiyu Feng   Mar 11,2018

We study a dynamic continuous-time principal-agent model with endogenous cash-flow volatility. The principal supplies the agent with capital for investment,... Read More

Optimal Short-Termism

Alejandro Rivera, Tak-Yuen Wong, Alejandro Rivera, Tak-Yuen Wong, Dirk Hackbarth   Jan 14,2018

This paper studies incentives in a dynamic contracting framework of a levered firm. In particular, the manager selects long-term and... Read More

An Equilibrium Model of Housing and Mortgage Markets with State-Contingent Lending Contracts

Alexei Tchistyi , Tomasz Piskorski   Dec 28,2017

We develop a tractable general equilibrium framework of housing and mortgage markets with aggregate and idiosyncratic risks, costly liquidity and... Read More

Securitization, Ratings, and Credit Supply

Brendan Daley , Victoria Vanasco Brett Green   Nov 22,2017

We show that the availability of credit ratings (or other public information) increases the allocative efficiency of cash flows by... Read More

Disclosure, Competition, and Learning from Asset Prices

Liyan Yang   Nov 21,2017

This paper studies the classic information-sharing problem in a duopoly setting in which firms learn information from a financial market.... Read More

Regulating a model

Bilge Yilmaz, Bilge Yilmaz, Yaron Leitner   Nov 21,2017

We study a situation in which a regulator relies on risk models that banks produce in order to regulate them.... Read More

Only time will tell: A Theory of Deferred Compensation

Florian Hoffmann, Roman Inderst,Florian Hoffmann, Roman Inderst, Marcus Opp   Oct 09,2017

We characterize optimal contracts in settings where the principal observes informative signals over time about the agent's one-time action. If... Read More

Insider Investor and Information

Ehsan Azarmsa,Ehsan Azarmsa, Lin William Cong (叢林)   Aug 18,2017

Relationship financing of innovative projects, as is common in bank lending and venture capital, features incumbent financiers' observing interim information... Read More

Endogenous Specialization and Dealer Networks

Artem Neklyudov,Artem Neklyudov, Batchimeg Sambalaibat   Aug 01,2017

OTC markets exhibit a core-periphery network: 10-30 central dealers trade frequently and with many dealers, while hundreds of peripheral dealers... Read More