The use of robust regression estimators has gained popularity among applied econometricians. The main argument invoked to justify the use of the robust estimators is that they provide efficiency gains in the presence of outliers or non-normal errors. Unfortunately, most practitioners seem to be...

We study fragmentation of equity trading using a model of imperfect competition among exchanges. In the model, increased competition drives down trading fees. However, additional arbitrage opportunities arise in fragmented markets, intensifying adverse selection. These opposing forces imply that...

We use financial disclosures to construct the returns on real estate transactions by U.S. Congress members. Active Congress members outperform non-Congress members by 3.25% per year. They outperform financial professionals, doctors, and former Congress members by similar amounts. About 1/3 of...

We model procurement auctions held by institutional traders seeking fulfillment for large trades. The dealer who wins such an auction might fill the order out of inventory or access the market for additional volumes. How many dealers should the trader contact? There is a general tradeoff: an...

We study the optimal execution problem in a principal-agent setting. A client contracts to purchase a large position from a dealer at a future point in time. In the interim, the dealer acquires the position from the market, choosing how to split the parent order into smaller child orders. Price...

This paper studies whether house prices reflect belief differences about climate change. We show that in an equilibrium model of housing choice in which agents derive utility from ownership in a neighborhood of similar agents, prices exhibit different elasticities to climate risk. We use...

The use of robust regression estimators has gained popularity among applied econometricians. The main argument invoked to justify the use of the robust estimators is that they provide efficiency gains in the presence of outliers or non-normal errors. Unfortunately, most practitioners seem to be...

Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are: (i) market-on-close contracts, which reference the price prevailing at the end of an execution...