This paper analyzes a market where investors observe the intermediate stages of price formation and can revise their orders as prices are determined. A trading mechanism that exhibits this property is said to be transparent. The issue of market transparency arises in many current policy issues...

This research examines a detailed time series of future aggregate profit forecasts. It seeks to determine whether the path of equity prices in the twelve month period surrounding the October 1987 crash could be justified by changes in the fundamental determinants of stock prices, i.e., the...

An individual investor’s demands for risky capital and riskless bonds depend on the investor’s subjective beliefs about the payoff to risky capital. This paper determines equilibrium asset prices and returns in a capital market in which investors have heterogeneous subjective expectations of...

There is often a moral hazard when information is sold since anyone can claim to have superior information. This paper considers feasible and optimal strategies which allow this problem to be overcome, in the context of a standard one-period, two-asset model. It is shown that it is always better...

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment...