The investment boundaries defined by Grenadier (2002) for an oligopoly investment game determine equilibria in open loop strategies. As closed loop strategies, they are not equilibria, because any firm by investing sooner can preempt the investments of other firms and expropriate the growth...

We analyze competition among informed traders in the continuous-time Kyle (1985) model, as Foster and Viswanathan (1996) do in discrete time. We confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when traders have identical information. When traders'...

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...

In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information...

The coskewness-cokurtosis pricing model is equivalent to there not being any return for which the alpha is positive and for which the residual risk has positive coskewness and negative cokurtosis with the market. Such returns would be extremely attractive to investors with...

We test the recent Fama-French five-factor model and Hou-Xue-Zhang four-factor model using test assets from Fama-MacBeth regressions, which are pure plays on particular characteristics or covariances. Our tests resolve the errors-in-variable bias in Fama-MacBeth regressions with estimated betas....

We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous-time securities market. The IRRA assumption helps to mitigate the criticism of constant relative risk aversion that it implies an unreasonably large aversion to large gambles, given...

We solve a dynamic Kyle model in which the large investor's private information concerns her plans for taking an active role in governance. We show that once a block has been created, its continued existence is jeopardized by an increase in the liquidity of the firm's stock. Greater liquidity...

We develop a dynamic principal-agent model in which conditioning future pay-for-performance on monitoring signals is a perfect substitute for contemporaneous pay-for-performance in providing incentives. Average pay-for-performance is higher when monitoring is less efficient, because the...

The investment boundaries defined by Grenadier (2002) for an oligopoly investment game determine equilibria in open-loop strategies. As closed-loop strategies, they are not equilibria, because any firm by investing sooner can preempt the investments of other firms and expropriate the growth...