We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's information is a message sent by an analyst.  Conformism increases the weight of the public information in the messages, decreasing their informativeness.  More...

In this paper we address the question as to why fund managers may trade on short-term information in a financial market that offers more profitable trading on long-term information. We consider a setting in which a fund manager`s ability is unknown and an investor uses performance observations...

It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist...

This paper explores the welfare implications of a securities transaction tax when informed traders act under short-term objectives. The model presented features speculators who can trade on information of differing time horizons, trade by fully rational uninformed agents, endogenous asset prices...

This paper investigates the incentives of investors to set up an actively managed fund in an emerging market or asset class. The analysis highlights the role of agency problems between fund managers and investors in determining this entry decision. It is shown that investors may wish to set up a...

We provide evidence that firms attempting IPOs condition offer terms and the decision whether to carry through with an offering on the experience of their primary market contemporaries. Moreover, while initial returns and IPO volume are positively correlated in the aggregate, the correlation is...

We show that introducing an external capital market with information asymmetry into a product market model reduces opportunistic substitution of sub-standard goods and encourages producers to concentrate on long-run reputation building.  We test this result with a laboratory experiment.  We...

This paper links real investment policy to corporate risk management, endogenizing the costs of external financing. Previous literature finds investment efficiency linked to full hedging. In this model, a firm with proprietary information when deciding its investment in a valuable project, may...

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom [7]. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market,...

Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such...