Papers

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Securitization, Ratings, and Credit Supply

Brendan Daley , Victoria Vanasco Brett Green   2017

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

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

Alexei Tchistyi , Tomasz Piskorski   2017

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

Regulating a model (JFE, forthcoming)

Bilge Yilmaz,Bilge Yilmaz, Yaron Leitner , Yaron Leitner   2017

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

Published: Journal of Financial Economics, 2018, (), -

Commodity Financialization and Information Transmission

Itay Goldstein , Liyan Yang   2017

We study how commodity financialization affects information transmission and aggre- gation in a commodity futures market. The trading of... Read More

Employee Bargaining Power, Inter-Firm Competition, and Equity-Based Compensation

Francesco Bova, Liyan Yang   2017

We develop a model to illustrate that equity-based compensation for non-executive employees and product market decisions are related. When... Read More

Screening and Adverse Selection in Frictional Markets

Benjamin Lester,Ali Shourideh,Venky Venkateswaran, Ariel Zetlin-Jones   2017

We incorporate a search-theoretic model of imperfect competition into an otherwise standard model of asymmetric information with unrestricted contracts.... Read More

What is the Optimal Trading Frequency in Financial Markets?

Songzi Du, Haoxiang Zhu   2017

This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More

Size Discovery

Darrell Duffie , Haoxiang Zhu   2017

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More

Proxy Advisory Firms: The Economics of Selling Information to Voters

Nadya Malenko , Andrey Malenko   2016

Proxy advisors play an important role by providing investors with research and recommendations on how to vote their shares. This... Read More

Selling to Advised Buyers

Anton Tsoy , Andrey Malenko   2016

In many cases, buyers are not fully informed about their valuations and rely on the advice of biased experts. For... Read More