Liquidity in the Cross Section of OTC Assets

Guner Velioglu, Semih Uslu   Feb 06,2024

Working Paper No.00138-00

We develop a dynamic model of a multi-asset over-the-counter (OTC) market that operates via search and bargaining and empirically test... Read More

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Johan Hombert, Bruno Biais , Pierre-Olivier Weill   Mar 29,2021

Working Paper No.00070-00

Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such... Read More

Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Oct 08,2020

Working Paper No.00051-02

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More

Pricing and Liquidity in Decentralized Asset Markets

Semih Uslu   Mar 27,2019

Working Paper No.00050-00

I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich... Read More

Published: Econometrica, 2019, 87(6), 2079-2140

Aggregation and Design of Information in Markets with Adverse Selection

Brett Green , William Fuchs , Vladimir Asriyan   Nov 05,2019

Working Paper No.00032-01

How effectively does a decentralized marketplace aggregate information that is dispersed throughout the economy? We study this question in a... Read More

Published: Journal of Economic Theory, 2021, (), -

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