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
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
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
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(), 568-584Brendan 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
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
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
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
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
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, (), -