We analyze trading behavior and information acquisition in a competitive rational expectations model in which different information signals get reflected in value at different points in time (in the short-term and in the long-term). If investors are sufficiently risk averse, we obtain a unique...

Finance is an inherently quantitative subject, and educators at both the undergraduate and graduate levels often struggle with finding the optimal approach that maximizes understanding and retention for their students, especially for students who are mathematically challenged.In this column, we...

SUBJECT AREAS: Term structure of interest rates; Dynamics; Treasury bills; Treasure securities; Business cycle. CASE SETTING: 1970 to present, U.S. risk-free, zero-coupon yield curves. For twenty years, the modern theory of the term structure of interest rates has been based on dynamic models of...

We analyze a competitive model in which different information signals get reflected in value at different points in time. If investors are sufficiently risk averse, we obtain an equilibrium in which all investors focus exclusively on the short-term. In addition, we show that increasing the...

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume liquidity proxy “VoV(%Spread)” for percent spread...

First, we replicate the Liquidity-adjusted Capital Asset Pricing Model (LCAPM) tests of Acharya and Pedersen (2005) using their original methodology and covering both their original time period and a more recent period. We successfully qualitatively replicate the descriptive and the first-stage...