We study the relation between equity market uncertainty and the informational efficiency of U.S. equity prices, proxied by the SPDR S&P 500 Trust ETF. Using the Baker, Bloom, and Davis (2016) equity market uncertainty index, we document a negative relation between market uncertainty and...

In an economy in which asset management firms compete both for money to manage and for managers to manage it, I show that a manager's compensation scheme is endogenously benchmarked against the market return when the expected market return is high whereas it is benchmarked against the...

This paper examines mechanisms that can resolve ownership disputes where the agents involve know who the legitimate owner is but others do not. The mechanism proposed is called ``Solomonic" because it resolves the biblical dispute facing King Solomon over the true mother of a baby. The mechanism...

Liquidity is extremely important not only within the context of financial markets but also in every scale of economic transactions. In this study, within the realm of financial markets, we configure liquidity as an independent stochastic process moderating the fluidity of all transactions and...

This study aims first at improving volatility prediction using a machine learning model called support vector regression GARCH (SVR- GARCH) using selected 30 stocks listed on the S&P 500. The authors compare the prediction results of the SVR-GARCH model with the GARCH family models and find that...

Using the pay gap between a firm’s CEO and the highest-paid CEO among similar competing firms to conceptualize the prize of winning external promotion tournaments, we document a positive relationship between external tournament incentives (ETIs) and IPO underpricing – a proxy of the cost of...

Monetary policy can promote financial stability and improve household welfare. We con- sider a macro model with a financial sector in which banks do not actively issue equity, output and growth depend on the aggregate level of bank equity, and equilibrium is inefficient. Monetary policy rules...

Lack of coordination for prudential regulation hurts developing economies but benefits advanced economies. We consider a two-country macro model in which countries have limited ability to issue state-contingent contracts in international markets, and equilibrium is con- strained inefficient....

Abstract I study the welfare implications of online privacy when ex ante homogenous consumers use the Internet to search for better options. I show that prohibiting the seller from accessing consumers' online histories for personalized pricing leads to the same expected welfare as giving the...

We study the equilibrium implications on asset prices of institutions' trading with sentiment-driven retail investors. In the model, both the benchmarking concerns of institutions and the (irrational) optimism of retail investors boost the aggregate demand for a stock. We show that the ensuing...