In this paper, we analyze the conflicts of interest of an informed agent who is responsible for divulging his private information about a company and has a reward function positively dependent on its stock price. We assume that the demand for the stock is subject to shocks that may increase...

We provide first empirical evidence of the long-term realized performance of alternative beta strategies. Despite diversified risk premia portfolios achieving satisfactory Sharpe ratios of 0.80 – 1.07 over the past decade, we show that up to two thirds of the performance can be explained by...

This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient...

If investors are differently informed about the payoff of market-traded securities, then the traditional market portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal portfolio conditionally on his information. Which proxy to...

Rational expectation equilibrium (REE) models were considerably developed over the past 40 years. However, still relatively little has been done on their empirical applications, private signals being unobservable. We propose a new methodology, theoretically premised, to reconstitute these...

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate...

We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general...

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank, Emirates Bank International, National Bank of Dubai,...

Certain corporate transactions (eg. insider purchases and buyback announcements) are known to be robust predictors of firm-level returns. However, I empirically show equity analysts largely ignore such informative, yet subtle, signals of stocks they cover. A trading strategy that follows...

I study the information content of bond ratings changes using daily corporate bond data from TRACE. Abnormal bond returns over a two-day event window that includes the downgrade (upgrade) are negative (positive) and statistically significant, although the reaction to upgrades is economically...