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Why is capital slow moving? Liquidity hysteresis and the dynamics of limited arbitrage

James Dow,Jungsuk Han, Francesco Sangiorgi   Sep 20,2018

Will arbitrage capital flow into a market experiencing a liquidity shock, mitigating the adverse effect of the shock on price... Read More

The Market for Conflicted Advice

Briana Chang , Martin Szydlowski   Sep 21,2018

We present a model of the market for advice in which advisers have conflicts of interest and compete for... Read More

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

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

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

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, (), -

Competition for Talent under Performance Manipulation

Ivan Marinovic , Paul Povel   Jul 08,201823

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

Information Spillovers in Asset Markets with Correlated Values

Brett Green , William Fuchs , Vladimir Asriyan   Jul 06,20183

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

Published: American Economic Review, 2017, (), -