In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

We examine information, market impact and trade sizes using a data-set of institutional trades where approximately 1/4 of the orders are labeled as having been created for cash flow purposes. We find that during the execution the functional form and scale of market impact are similar for cash...

Telemonitoring devices can be used to screen consumers' characteristics and mitigate information asymmetries that lead to adverse selection in insurance markets. However, some consumers value their privacy and dislike sharing private information with insurers. In the second-best efficient...

Starting from basic hypotheses on how footprints from hidden orders are interpreted by short-term traders, we derive a fair price model that predicts market impact for non-uniform participation rate schedules. We use this model to derive an optimal execution schedule for a risk-averse trader....

Should insurance prices vary with age? I consider competitive markets for lemons where a signal (eg, age) partitions consumers (eg, young and old). I study the continuum of policies between full community rating (CR, equal prices) and zero CR (no restriction on prices). CR increases welfare if...

his study develops a rational expectations equilibrium model of IPO underpricing within which the distribution of underpricing is explicitly modeled, as opposed to assumed. Contrary to assumptions of prior studies, IPO quality is not inferred from IPO underpricing, is explicitly defined, and is...