Most investors purchase securities knowing they will resell those securities in the future. Uncertainty about the preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural to suppose that investors are asymmetrically...

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...

This paper investigates whether an increase in ABS issuance, or securitized products, by leasing companies has been influenced by Japanese banks’ tightened lending attitudes in 1990s. Our focus is in particular to examine the importance of asset securitization for leasing companies when...

This paper examines the production aspect of money to bridge between the search-theoretic models and the canonical Walrasian growth models. In this paper, we argue that money can generate real effects via technology choice (high vs. low), we model explicitly the pattern of exchanges to explore...

We study a model with a durable good subject to abrupt, periodic obsolescence, and characterize the optimal purchasing policy. Consumers optimally synchronize new purchases with the arrival of new durable models. Hence, some agents use a "flexible" optimal replacement rule that switches between...

This paper presents new plant-level evidence on the effects of access to international technology diffusion on the demand for skilled workers using data from Investment Climate Surveys performed by the World Bank in Asia and Latin America. Our findings suggest that in Brazil, China and Malaysia...

Two different theoretical treatments of technology diffusion in an economy are examined. The traditional model based on the aggregate production function approach first introduced by Solow (1957) assumes technology is unstructured and arrives as a continuous exogenous flow. This model predicts...