high frequency price movements in the stock market. In fact, we know of no framework that can satisfactorily account for …

transitory neutral technology shocks. When calibrated to the capital price observations, the model does well at accounting for …

and relative price informativeness in dynamic environments with rich heterogeneity across investors (regarding signals … and non-stationary asset payoffs. We implement our methodology empirically, finding stock-specific measures of price … informativeness for U.S. stocks. We find a right-skewed distribution of price informativeness, measured in the form of the Kalman gain …

belonging to both merging parties, as well as (one or more) \common insurers" with which price and network status is negotiated …) experience price increases of 7-10 percent relative to control hospitals, while hospitals gaining system members out …-of-state exhibit no statistically significant changes in price. The former group are likelier to share common customers and insurers …

a large empirical literature from the 1950's and 60's, that it is necessary to distinguish the response of price to an … two models that can potentially explain these findings. Both break the link between price and marginal cost, thereby … second is driven by firms pricing to limit non-price competition within their market …

The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

This paper examines asset fire sales, and institutional price pressure more generally, in equity markets, using market …) tend to decrease (increase) existing positions, which creates price pressure in the securities held in common by these …