We study the role of private information in the equity-lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trading aggressiveness and decreasing demand dispersion....

One of the most basic principles in economics is that competitive pressure promotes efficiency. However, this pressure can also have a dark side because it makes firms reluctant to act on private information that is unpopular with consumers. As a result, firms that possess superior information...

A speed bump in financial markets is an intentional delay imposed on trade execution. Its primary purpose is to mitigate asymmetric information by slowing down high-frequency traders (HFTs). In contrast to its intended purpose, this paper shows that a speed bump has the crowding-in effect on...

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous re-search, on the prior order history when...

A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high-quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with. When the measure of informed buyers is low, there exists a unique and...

A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high-quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with. When the measure of informed buyers is low, there exists a unique...