In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only private values. We characterize and analyze the equilibrium order placement strategies of traders and the conditional execution probabilities of limit orders as a function of traders'...

In this paper we introduce flexibility as an economic concept and apply it to the firm’ssecurity issuance decision and capital structure choice. Flexibility is the ability to makedecisions that one thinks are best even when others disagree. The firm’s management valuesflexibility because it...