, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to …

This lecture outlines an asymmetric information theory of financial instability which describes the fundamental forces … which harm both the financial sector and economic activity. This asymmetric information framework is then used to … demonstrate that although international capital movements and financial volatility can play a role in destabilizing the economy is …

Markets Hypothesis, greater firm-specific stock price variation reflects higher intensity firm-specific information …

We develop a model of monetary policy with two key features: (i) the central bank has private information about its … long-run target for the policy rate; and (ii) the central bank is averse to bond-market volatility. In this setting … when the central bank moves more gradually. The same desire to mitigate bond-market volatility can lead the central bank to …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

Does information asymmetry affect the cross-section of expected stock returns? We explore this question using … information advantage, and that past aggressiveness of institutional trading in a stock positively predicts institutions' future … information advantage in this stock. Sorting stocks on this predictor and controlling for other correlates of expected returns, we …