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

Screening and Adverse Selection in Frictional Markets

Benjamin Lester,Ali Shourideh,Venky Venkateswaran, Ariel Zetlin-Jones   Jul 06,2018

We incorporate a search-theoretic model of imperfect competition into an otherwise standard model of asymmetric information with unrestricted contracts.... Read More

What is the Optimal Trading Frequency in Financial Markets?

Songzi Du, Haoxiang Zhu   Jul 06,2018

This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More

Size Discovery

Darrell Duffie , Haoxiang Zhu   Jul 06,2018

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to... Read More

Proxy Advisory Firms: The Economics of Selling Information to Voters

Nadya Malenko , Andrey Malenko   Dec 13,2016

Proxy advisors play an important role by providing investors with research and recommendations on how to vote their shares. This... Read More

Selling to Advised Buyers

Anton Tsoy , Andrey Malenko   Dec 13,2016

In many cases, buyers are not fully informed about their valuations and rely on the advice of biased experts. For... Read More

Transparency and Talent Allocation in Money Management

Günter Strobl , Simon Gervais   Dec 13,2016

We construct and analyze the equilibrium of a model of delegated portfolio management in which money managers signal their investment... Read More