We derive an inter-temporal theory of changing tastes from the normative primitives defined in Sagi (1998). Using a notion of time consistency we establish several interesting results: (i) the set bounding agents' potential tastes shrinks (weakly) with time, (ii) non-linear induced preferences...

We present two ways in which trading in a replicatable option can affect the price process of the underlying asset. In the first situation, trading an option that each investor views as payoff-redundant breaks a non-fully-revealing equilibrium that exists when the option market is absent. The...

The purpose of this paper is to suggest simple procedures designed to cope with the effects of thin trading on event study tests. The procedures are directed at two central problems: (i) missing individual stock returns (i.e., days on which no trading is observed in a security), and (ii) the...

This paper characterizes the conditions under which the adverse-selection problem, which may prevent a firm from issuing securities to finance an otherwise profitable investment, may be costlessly overcome by an appropriate choice of financing strategy. The conditions are specialized when the...