Narrow search
Showing 1 - 5 of 5
Cover Image
Asset Management Contracts and Equilibrium Prices
Buffa, Andrea M. - 2014
We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions …, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes … managers unwilling to deviate from the index and exacerbates price distortions. Because trading against overvaluation exposes …
Persistent link: https://www.econbiz.de/10012458188
Cover Image
Financial Markets where Traders Neglect the Informational Content of Prices
Eyster, Erik - 2015
We present a model of a financial market where some traders are "cursed" when choosing how much to invest in a risky asset, failing to fully take into account what prices convey about others' private information. Cursed traders put more weight on their private signals than rational traders. But...
Persistent link: https://www.econbiz.de/10012457443
Cover Image
Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2009
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...
Persistent link: https://www.econbiz.de/10012463434
Cover Image
Bond Supply and Excess Bond Returns
Greenwood, Robin - 2008
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model,...
Persistent link: https://www.econbiz.de/10012464841
Cover Image
Market Liquidity -- Theory and Empirical Evidence
Vayanos, Dimitri - 2012
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10012460409