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Information Tradeoffs in Dynamic Financial Markets

Efstathios Avdis   Mar 15,2017

Working Paper No.00013-00

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

Only time will tell: A Theory of Deferred Compensation

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

Working Paper No.00015-00

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

Working Paper No.00018-00

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

An Equilibrium Model of Housing and Mortgage Markets with State-Contingent Lending Contracts

Alexei Tchistyi , Tomasz Piskorski   Dec 28,2017

Working Paper No.00017-00

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 21,2017

Working Paper No.00016-00

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

Working Paper No.00035-00

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

Working Paper No.00036-00

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

Working Paper No.00038-00

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

Working Paper No.00039-00

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

Working Paper No.00040-00

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