We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...

We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the true...

Prequential testing of a forecaster is known to be manipulable if the test must pass an informed forecaster for all possible true distributions. Stewart (2011) provides a non-manipulable prequential likelihood test that only fails an informed forecaster on a small, category I, set of...

Prosper, today the second largest social lending marketplace with nearly 1.5 million members and $380 million in funded loans, employed an auction mechanism amongst lenders to finance each borrower's loan until 2010. Given that a basic premise of social lending is cheap loans for borrowers, how...

Prosper, the largest online social lending marketplace with over a million members and $207 million in funded loans, uses an auction amongst lenders to finance each loan. In each auction, the borrower specifies D, the amount he wants to borrow, and a maximum acceptable interest rate R. Lenders...

We answer the following question: At t = 1, an expert has (probabilistic) information about a random outcome X. In addition, the expert will obtain further information about X as time passes, up to some time t = T + 1 at which X will be publicly revealed. (How) Can a protocol be devised that...

We construct a budget-balanced wagering mechanism that flexibly extracts information about event probabilities, as well as the mean, median, and other statistics from a group of individuals whose beliefs are immutable to the actions of others. We show how our mechanism, called the Brier betting...

Despite its importance, voting in the elections of corporate boards of directors remains relatively unexplored in the empirical literature. We construct a comprehensive dataset of 3,204,890 mutual fund votes in director elections that took place between July 2003 and June 2005. We find...

We show that institutional shareholders of acquiring companies on average do not lose money around public merger announcements, because they also hold substantial stakes in the targets and make up for the losses from the former with the gains from the latter. Depending on their holdings in the...

This paper studies information aggregation in dynamic markets with partially informed strategic traders. A natural condition on traded securities and information structure, quot;separability,quot; is introduced. If a security is separable, information about its value always gets aggregated, for...