In this paper we explore some of the consequences of greater market transparency for market performance in the presence of a strategic specialist. Although numerous studies have dealt with this issue, previous work has only considered either fully transparent or fully opaque markets. Our model...

We develop a model of insider trading where agents have private information either about liquidation value or about supply, and behave strategically to maximize their profits. The presence of a supply-informed trader in the market induces non-monotonicity of market indicators with respect to the...

The empirical literature suggests that the limit order book contains information that might be used by the specialist for his own advantage. We develop a model of insider trading where there is a specialist who has access to the order book and informed traders who receive information about the...

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender's claim in a firm's debt hierarchy, we consider a firm that issues two bonds with different maturities and different seniorage. The...

This paper investigates how corporate decisions such as the choice of corporate governance mechanisms or information disclosure by management, affect firm stock liquidity. The model studies the interaction between a firm's manager and its shareholders and shows that the quality of the firm's...

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender's claim in a firm's debt hierarchy, we consider a firm that issues two bonds with different maturities and different seniorage. The...

If there are diseconomies of scale in asset management, any predictability in mutual fund performance will be arbitraged away by rational investors seeking funds with the highest expected performance (Berk and Green, 2004). In contrast, the performance of US equity mutual funds persists through...