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

Bargaining and News

Brendan Daley , Brett Green   May 04,2017

We study a bargaining model in which a buyer makes frequent offers to a privately informed seller, while gradually learning... Read More

Persistent Blessings of Luck

Yizhou Xiao, Yizhou Xiao, Lin William Cong (叢林)   Apr 05,2017

Persistent fund performance in venture capital is often interpreted as evidence of differential abilities among managers. We present a dynamic... Read More

Information Tradeoffs in Dynamic Financial Markets

Masahiro Watanabe, Masahiro Watanabe, Efstathios Avdis   Mar 15,2017

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where... Read More

Rational-expectations whiplash

Efstathios Avdis, Masahiro Watanabe,Efstathios Avdis, Masahiro Watanabe, Efstathios Avdis   Mar 15,2017

We present a financial market with investors who have nested private information. Small perturbations of price informativeness, originating from fat-finger... Read More

Bank capital and the composition of credit

Milton Harris , Christian Opp Marcus Opp   Feb 01,2017

We propose a general equilibrium framework to analyze the cross-sectional distribution of credit and its exposure to shocks to the... Read More

Risk Preferences and the Macro Announcement Premium

Ravi Bansal, Ravi Bansal, Hengjie Ai   Jan 06,2017

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as... Read More

Information and Competition with Symmetry

Pete Kyle,Pete Kyle, Mina Lee   Dec 31,2016

This paper investigates the strategic foundations for rational expectations equilibrium. In the model, risk-averse traders with two signals—private information and... Read More

A Dynamic Model of Optimal Creditor Dispersion

Hongda Zhong   Dec 30,2016

Firms often choose to raise capital from multiple creditors even though doing so may lead to inefficient liquidation caused by... Read More

Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design

Douglas Xu, Douglas Xu, Lin William Cong (叢林)   Dec 30,2016

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities that facilitate... Read More