We develop a new methodology to estimate herd behavior in financial markets. We build a model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE...

We characterize the unique equilibrium of a competitive continuous time game between a resource-constrained informed player and a sequence of rivals who partially observe his action intensity. Our game adds noisy monitoring and impatient players to Aumann and Maschler (1966), and also subsumes...

Intangible capital which relies on essential human inputs, or "organization capital," presents a unique challenge for measurement. Organization capital cannot be fully owned by firms' financiers, because it is partly embodied in key labor inputs. Instead, cash flows must be shared with key...

We study subgame-perfect implementation (SPI) mechanisms that have been proposed as a solution to incomplete contracting problems. We show that these mechanisms, which are based on off-equilibrium arbitration clauses that impose large fines for lying and the inappropriate use of arbitration,...

We examine a dynamic model of voluntary disclosure of multiple pieces of private information. In our model, a manager of a firm who may learn multiple signals over time interacts with a competitive capital market and maximizes payoffs that increase in both period prices. We show (perhaps...

The newsworthiness of an event is partly determined by how unusual it is and this paper investigates the business cycle implications of this fact. Signals that are more likely to be observed after unusual events may increase both uncertainty and disagreement among agents. In a simple business...

A significant policy concern about the emerging plaintiff legal funding industry is that loans will undermine settlement. When the plaintiff has private information about damages, we find that the optimal (plaintiff-funder) loan induces all plaintiff types to make the same demand, resulting in...

In this paper, we demonstrate the efficiency of seller entry in a model of competing auctions in which we allow for both buyer and seller heterogeneity. This generalizes existing efficiency results in the competitive search literature by simultaneously allowing for nonrival (many-on-one)...

Hume (1748) challenged the idea that a general claim (e.g. "all swans are white") can be validated by empirical evidence, no matter how compelling. We examine this issue from the perspective of a tester who must accept or reject the forecasts of a potential expert. If experts can be skeptical...

A principal can observe both the output and input of an agent who works at a job involving multiple tasks. We provide a simple theory that explains why it may be optimal for the principal to use only an output-based incentive contract, even though the principal can monitor the agent's actions...