This article presents a framework for analyzing the dynamic effects of anticipated large demand pressures on asset risk premia. The authors show that large institutions who can time their entry into the market will trade either at the open or during periods of unusual demand pressures. They show...

The authors examine an adverse selection model of trading in which both informed and uninformed traders are rational, maximizing agents. Replacing the price inelastic "noise" or "liquidity" traders with strategic, utility-maximizing hedgers permits an explicit analysis of the uninformed traders'...