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Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Dec 30,20190

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such agents have... 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

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

Optimal Contracting and the Organization of Knowledge

luis garicano,luis rayo, William Fuchs   Jul 30,2018

We study contractual arrangements that support an efficient use of time in a knowledge- intensive economy in which agents... Read More

Endogenous Specialization and Dealer Networks

Batchimeg Sambalaibat   Aug 23,2018

We build a directed search model of network formation. We propose that a core-periphery interdealer network arises from dealer specialization. Read More

Why is capital slow moving? Liquidity hysteresis and the dynamics of limited arbitrage

James Dow,Jungsuk Han, Francesco Sangiorgi   Sep 20,2018

Will arbitrage capital flow into a market experiencing a liquidity shock, mitigating the adverse effect of the shock on price... Read More

Monitor Reputation and Transparency

Ivan Marinovic , Martin Szydlowski   Sep 21,2018

We study the disclosure policy of a regulator overseeing a monitor with reputation concerns, such as a bank or... Read More

The Market for Conflicted Advice

Briana Chang , Martin Szydlowski   Sep 21,2018

We present a model of the market for advice in which advisers have conflicts of interest and compete for... Read More

Trust in Signals and the Origins of Disagreement

Alice Hsiaw, Ing-Haw Cheng   Dec 14,2018

Why do individuals interpret the same information differently? We propose that individuals follow Bayes' Rule when forming posteriors with one exception:... Read More

Compensation in High Finance: A Theory of Periodic Labor Markets and Guaranteed Bonuses

Brian Waters , Edward Van Wesep   Dec 17,2018

We present a general equilibrium model of labor market ows that features a periodic equilibrium in which turnover is high... Read More