We present a simple model where, before competing in prices, firms announce which prices they intend to choose. Deviating from these announcements involves a cost. We show that sharing pricing intentions results in prices being set above their competitive levels. All equilibria result in prices...

Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price. Nonetheless, statistical tests for this property are sometimes treated as tests for the proper functioning of an asset market; asset...

We concurrently examine price reversals and price continuations that follow extreme one-day price changes in the period 1986–2015. Consistent with the overreaction and underreaction hypotheses, we find that investors overreact to non-information-based price movements and underreact to public...

This paper examines the effect of integrity culture on firms' financing costs. Using different integrity measures at both firm and regional levels, we find that firms with a lower integrity level or firms located in regions lacking integrity have a higher bank loan spread and higher implied cost...

Fund trades and prices vary systematically with the quarterly reporting cycle. Funds are more likely to complete the building of a position at quarter-end, which is when most funds report positions to investors, and begin building new positions afterwards. While some of the observed shift in...

We study dynamic signaling in a game of stochastically evolving stakes. Our motivating example is dynamic limit pricing in markets with persistent demand shocks. An incumbent is privately informed about its costs, high or low, and can deter a potential entrant by setting prices strategically....