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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

Information Tradeoffs in Dynamic Financial Markets

Efstathios Avdis   Mar 15,201710

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

Published: Journal of Financial Economics, 2016, 122(), 568-584

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

Only time will tell: A Theory of Deferred Compensation

Florian Hoffmann, Roman Inderst,Florian Hoffmann, Roman Inderst, Marcus Opp   Oct 08,2017

We characterize optimal contracts in settings where the principal observes informative signals over time about the agent's one-time action. If... Read More

Disclosure, Competition, and Learning from Asset Prices

Liyan Yang   Nov 21,2017

This paper studies the classic information-sharing problem in a duopoly setting in which firms learn information from a financial market.... Read More

Securitization, Ratings, and Credit Supply

Brendan Daley , Victoria Vanasco Brett Green   Nov 22,2017

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   Dec 28,2017

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   Nov 21,201710

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, 2019, (), -

Commodity Financialization and Information Transmission

Itay Goldstein , Liyan Yang   Jul 06,2018

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   Jul 06,2018

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