Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Like a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against herself. This...

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...

We use Google internet search volumes to measure households' pessimism about overall market-wide credit health in the economy, and show that this "household default sentiment" is positively correlated with the credit default swap (CDS) spread level in the market. However, while household default...

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

We use the Twitter-based Hedonometer happiness index to study the link between happiness and gold price changes. We find no significant correlation between the two when we look at correlations across the entire distributions. However, turning to an extreme value theory (EVT) modeling of the...

I examine how mandatory disclosure of fiscal payment information in developed countries affects fiscal revenue contributions and investments by multinational firms in less developed countries. In Europe and Canada, extractive firms have to publicly disclose their payments to foreign host...

We extend the analysis of the interbank market model of Gale and Yorulmazer (2013) by studying a larger set of trading mechanisms. A trading mechanism, which allows for randomized trading, restores efficiency. In contrast to Gale and Yorulmazer, we find that fire-sale asset prices are efficient...

We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and...

This paper develops a model of corporate investment and financing decisions thatdiffers from previous contributions by recognizing that firms face uncertainty regardingtheir future access to credit markets and may have to search for creditors when raisingdebt financing. We show that accounting...

The aim of this paper is to study asset reallocation in financial markets subject to search, bargaining, and information frictions, and to analyze the impact of monetary policy on equilibrium outcomes. The main results show that private information regarding the quality of an asset impairs its...