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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

Risk Preferences and the Macro Announcement Premium

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

Bank capital and the composition of credit

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

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