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Cao, H. Henry - 2003

In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of...

Persistent link: https://www.econbiz.de/10012468804

Noise as Information for Illiquidity

Hu, Xing - 2010

We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount of arbitrage capital in the market and the potential impact on price deviations in US Treasurys. When arbitrage capital is abundant, we expect the arbitrage forces to smooth out...

Persistent link: https://www.econbiz.de/10012462189

Efficiency and Welfare with Complementarities and Asymmetric Information

Angeletos, George-Marios - 2005

This paper examines equilibrium and welfare in a tractable class of economies with externalities, strategic complementarity or substitutability, and incomplete information. In equilibrium, complementarity amplifies aggregate volatility by increasing the sensitivity of actions to public...

Persistent link: https://www.econbiz.de/10012466845

Imperfect Common Knowledge and the Effects of Monetary Policy

Woodford, Michael - 2001

This paper reconsiders the Phelps-Lucas hypothesis, according to which temporary real effects of purely nominal disturbances result from imperfect information, but departs from the assumptions of Lucas (1973) in two crucial respects. Due to monopolistically competitive pricing, higher-order...

Persistent link: https://www.econbiz.de/10012470042

A Simple Proof That Futures Markets are Almost Always Informationally Inefficient

Gale, Ian - 1989

Previous work which showed that prices could aggregate perfectly the diverse information of traders depended critically on the assumption that all agents had constant absolute risk utility. We show that either all agents must have constant absolute risk aversion utility, or all must have...

Persistent link: https://www.econbiz.de/10012475828

Monetary Information and Interest Rates

Walsh, Carl E. - 1985

A model of interest rate movements in response to new information on the money stock is developed.The model, which incorporates several earlier approaches as special cases, makes explicit the manner in which estimated interest rate responses to money surprises depend on the relative variances of...

Persistent link: https://www.econbiz.de/10012477495

Stock-Based Compensation and CEO (Dis)Incentives

Benmelech, Efraim - 2008

Stock-based compensation is the standard solution to agency problems between shareholders and managers. In a dynamic … managers to work harder, it also induces them to hide any worsening of the firm's investment opportunities by following largely …-valued while managers hide the bad news to shareholders. We find that a firm-specific compensation package based on both stock and …

Persistent link: https://www.econbiz.de/10012464915

Q-Monetary Transmission

Jeenas, Priit; Lagos, Ricardo - National Bureau of Economic Research - 2022

develop a theory of the mechanism, provide empirical evidence, evaluate the ability of the quantitative theory to match the …

Persistent link: https://www.econbiz.de/10013210051

The Two Faces of Information

Gaballo, Gaetano; Ordoñez, Guillermo - National Bureau of Economic Research - 2021

In absence of insurance contracts to share risk, public information is a double-edged sword. On the one hand, it empowers self-insurance as agents better react to shocks, reducing risk. On the other hand, it weakens market-insurance as common knowledge of shocks restricts trading risk. We embody...

Persistent link: https://www.econbiz.de/10012482704

Do Short-Term Managerial Objectives Lead to Under- or Over-Investment in Long-Term Projects

Bebchuk, Lucian Arye - 1994

(the market knows less about such investments than the firm's managers) and short-term managerial objectives (the managers … imperfect information and short-term managerial objectives induce managers to underinvest in long-run projects. We show that …

Persistent link: https://www.econbiz.de/10012474201