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

Douglas Xu, Douglas Xu, Lin William Cong (叢林)   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

A Dynamic Model of Optimal Creditor Dispersion

Hongda Zhong   2016

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

Information and Competition with Symmetry

Pete Kyle,Pete Kyle, Mina Lee   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

Information Spillovers in Asset Markets with Correlated Values

Brett Green , William Fuchs Vladimir Asriyan   2016

We study information spillovers in a dynamic setting with corre- lated assets owned by privately-informed sellers. In the model,... Read More

Competition for Talent under Performance Manipulation

Ivan Marinovic , Paul Povel   2016

We study the effects of introducing competition for CEOs, assuming that the talent of CEOs is not observable and... Read More

Published: Journal of Accounting and Economics, 2017, 64(1), 1-14