In this paper, we examine the effect of implicit seller reserves on the estimation of value-at-risk based on historical asset sales data. We direct our examination toward how and whether fine art might prove an appropriate form of loan collateral for banks and other financial institutions. Using...

In October of 2000, the Securities and Exchange Commission (SEC) passed Regulation Fair Disclosure (FD) in an effort to reduce selective disclosure of material information by firms to analysts and other investment professionals. We find that the information asymmetry reflected in trading costs...

We examine the role that spot markets and physical inventories play in revealing to uninformed traders the expectations of informed traders. Although many papers investigate potential mechanisms by which futures markets may disseminate such information, the role of spot markets has not been...

We analyze a dynamic auction model in which competitive risk-averse traders optimally exploit their long-lived homogeneous private information regarding the value of an asset. The asset's terminal value depends on both the traders' initial signal and a sequence of zero-mean information shocks...

This paper extends a growing body of research into the time-series properties of return and trading dynamics caused by direct information flow across investors. Our market setting has the virtue of extreme simplicity including atomistic investors, continuous trading, and a diversified asset...

In this paper we provide an economic and econometric justification for using a log-linear form to estimate stock value based on accounting information. A log-linear form stands in contrast to the more traditional linear form. We state conditions under which log linear regression provides minimum...

Recently, the Securities and Exchange Commission (SEC) passed a new rule, known as Regulation Fair Disclosure (Reg. FD), that prohibits selective disclosure of material information to analysts and other investment professionals. Both proponents and critics, in emphasizing different aspects of...

We examine whether expert appraisals provided to bidders before major art auctions are unbiased indicators of value. Despite a strong grounding in theory, this aspect of optimal auction design has been frequently challenged in previous empirical research, particularly in the market for fine art....

This paper reexamines how risk return relationships are affected by investor uncertainty about the exact parameters of the joint rate of return distribution. We attempt to clarify results relating to three central issues. First, we address the issue of diversification, focusing on an APT, factor...