The goal of this paper is to analyze consumer demand in markets with large price uncertainty. We develop a demand model for goods that are subject to habit formation. We show that consumption plans of forward looking individuals depend not only on preferences and current period prices, but also...

We ask whether foreign equity ownership increases or decreases the stability of information signals that are absorbed into prices, hence affecting price volatility and the quality of the domestic stock market in an emerging economy. We address both the effect of ownership restrictions...

This article examines the impact of transaction costs on portfolio performance. Previous research on this topic has focused largely on post-trade considerations, i.e., the impact of realized transaction costs on investment performance. By contrast, we focus on pre-trade considerations, namely...

The use of automated auctions to trade equities, derivatives, bonds and foreign exchange has increased dramatically in recent years. Trading in automated auctions occurs through an electronic limit order book without the need for dealers. Automated auctions offer advantages of speed and...

A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. We enlarge this focus to include an examination of pricing behavior, using data on index futures trading in a pure...

We ask whether foreign equity ownership increases or decreases the stability of information signals that are absorbed into prices, hence affecting price volatility and the quality of the domestic stock market in an emerging economy. We address both the effect of ownership restrictions...