We present a model in which the microstructure of trade in a commodity or asset is endogenously determined. Producers and consumers of a commodity (or buyers and sellers of an asset) who wish to trade can choose between two competing types of intermediaries: 'middlemen' (dealer/brokers) and...

What determines how trade in a commodity is divided between privately negotiated transactions via quot;middle menquot; (dealer/brokers) in a telephone or quot;dealer marketquot; versus transactions via quot;market makersquot; (specialists) at publicly observable bid/ask prices? To address this...

This paper develops and implements an exact finite-sample test of asset pricing models with time varying risk premia using posterior probabilities. The strength of our approach is that it allows multiple conditional asset pricing specifications, both nested and non-nested, to be tested and...

This paper develops and implements an exact finite-sample test of asset pricing models with time varying risk premia using posterior probabilities. The strength of our approach is that it allows multiple conditional asset pricing speci fications, both nested and non-nested, to be tested and...

This paper exploits the intuition of the ICAPM to propose a measure that formally compares the empirical performance of competing asset pricing models in the presence of short selling constraints. In a multifactor context, portfolios are said to be efficient if they yield the highest expected...

This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...