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
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
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
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
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
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
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
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
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
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