Estimating Demand Systems for Treasuries

Jason Allen,Jakub Kastl, Milena Wittwer   Jul 18,2023

Working Paper No.00111-00

Leveraging an institutional feature that Treasury auctions of different maturities are often held simultaneously, we propose  a method for estimating... Read More

Sustainable finance under regulation

Shiyang Huang , Alexandr Kopytov   Jul 22,2023

Working Paper No.00112-00

We build a model analyzing optimal environmental regulation in the presence of socially responsible investors. Investors care about sustainability of... Read More

Externalities of Responsible Investments

Michele Bisceglia,Jan Schneemeier, Alessio Piccolo   Aug 01,2023

Working Paper No.00113-01

We develop a model to study the efficiency of socially responsible investments (SRI) as a market-based mechanism to control firms'... Read More

Information acquisition and mutual funds

Joel M. Vanden, Diego Garcia   Aug 02,2023

Working Paper No.00114-00

We study the size and the existence of the mutual fund industry by generalizing the standard competitive noisy rational expectations... Read More

Relative wealth concerns and complementarities in information acquisition

Günter Strobl , Diego Garcia   Aug 02,2023

Working Paper No.00115-00

This paper studies how relative consumption effects, in which a person's satisfaction with their own consumption depends on how much... Read More

Information sales and strategic trading

Francesco Sangiorgi , Diego Garcia   Aug 02,2023

Working Paper No.00116-00

We study information sales in financial markets with strategic risk-averse traders. Our main result establishes that the optimal selling mechanism... Read More

Asymmetric information, security design, and the pecking (dis)order

Dirk Hackbarth, Paolo Fulghieri , Diego Garcia   Aug 02,2023

Working Paper No.00117-00

We study a security design problem under asymmetric information, in the spirit of Myers and Majluf (1984). We introduce a... Read More

The Equilibrium Consequences of Indexing

Philip Bond , Diego Garcia   Aug 02,2023

Working Paper No.00118-00

We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur... Read More

Optimal contracts with privately informed agents and active principals

Diego Garcia   Aug 02,2023

Working Paper No.00119-00

This paper considers an optimal contracting problem between an informed risk-averse agent and a principal, when the agent needs to... Read More

Noise and aggregation of information in large markets

Branko Urosevic, Diego Garcia   Aug 02,2023

Working Paper No.00120-00

We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that,... Read More