Stock prices are more informative when the information has less social value. Speculators with limited resources making costly (private) information production decisions must decide to produce information about some firms and not others. We show that producing and trading on private information...

We study the quot;efficient marketsquot; paradigm in the context of agency relations: principal-investors want to monitor and compensate their agent-traders using market security prices in quot;mark-to-marketquot; contracts. The view of each principal is that market prices aggregate the...

Central banking is intimately related to liquidity provision to banks during times of crisis, the lender-of-last-resort function. This activity arose endogenously in certain banking systems. Depositors lack full information about the value of bank assets so that during macroeconomic downturns...

Why do governments bailout banking systems in distress? We argue that the government can efficiently provide liquidity. We present a general equilibrium model in which not all assets can be used to purchase all other assets at every date. At some dates agents want to sell projects or securities....

We study an infinite-horizon Lucas tree model where a manager is hired to tend to the trees and is compensated with a fraction of the trees' output. The manager trades shares with investors and makes an effort that determines the distribution of the output. When the manager is less risk-averse...

We study an infinite-horizon Lucas tree model where a manager is hired to tend to the trees and is compensated with a fraction of the treesʼ output. The manager trades shares with investors and makes an effort that determines the distribution of the output. When the manager is less (more)...

The dissertation is focused on studying the behavior of aggregate asset market and its relationship to real economic activity. Chapter 1 offers a new empirical perspective on the relationship between the conditional mean and volatility of stock returns. Chapter 2 builds a general equilibrium...

We document that credit rating changes significantly affect chief executive officer's (CEO's) incentives. Modeling both credit rating changes and CEO incentive changes as two jointly endogenous processes, we present strong evidence that CEO incentives increase subsequent to credit downgrades...

We study whether a risk-based pricing source can generate momentum profits. We show both analytically and empirically that the Fama-French factor-adjusted return, or alphas, contains a missing risk-based component. A momentum strategy based on a proxy for this missing-factor component generates...