We compare the following multi-stage inter-dealer trading mechanisms: a one-shot uniform-price auction, a sequence of unit auctions (sequential auctions), and a limit-order book. With uninformative customer orders, sequential auctions are revenue-preferred because winning dealers in earlier...

This paper studies whether two-stage trading mechanisms that involve inter-dealer trading after a customer-dealer trade improve welfare over the one-shot settings traditionally analyzed in the market microstructure literature.A main finding of the paper is that two-stage trading dominates...

We analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure. The customer's order is competed for and divided among risk averse market makers (limit-order providers) with heterogeneous inventories. Main conclusions of the paper are as...

This paper presents a model of Dutch auction share repurchases which yields predictions about the relationship between firm characteristics (in terms of ownership structure, firm size, etc.) and the auction oucome (in terms of repurchase premium and aggregate supply elasticity). We find...

We consider a model of divisible good auctions that allows for both private information and uncertain noncompetitive demand. By placing restrictions on preferences and distributions, we are able to obtain explicit solutions for linear, symmetric strategy equilibria. The model allows us to...

We consider a moral hazard setup wherein leveraged firms have incentivesto take on excessive risks and are thus rationed when they attempt toroll over debt. Firms can sell assets to alleviate rationing. Liquidatedassets are purchased by non-rationed firms but their borrowing capacityis also...

We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is...

Collateral constraints imply that financing and risk management are fundamentally linked. The opportunity cost of engaging in risk management and conserving debt capacity to hedge future financing needs is forgone current investment, and is higher for more productive and less well-capitalized...

We analyze a multi-period model of trading with differentially informed traders, liquidity traders and a market maker. Each informed traders' initial information is a noisy estimate of the long-term value of the asset, and the different signals received by informed traders can have a variety of...

This paper presents a two stage trading model of a competitive dealership market. In the first stage, one among a group of risk averse market makers executes a public trade which contains some information. Details of this trade are not publicly disclosed. In the second stage, an inter-dealer...