Competition among sellers of information in a noisy rational expectation equilibrium is considered. Trader's preferences for information are explicitly characterized. It is shown that the competition on market for information makes providers of financial information to price their products in a...

We develop a model in which feedback effects from equity markets to firms' access to external finance allow uninformed traders to profit by short selling a firm's stock while going long on its competitors. Because this strategy distorts the investment incentives of the firm targeted by short...

We study the timing of leniency applications using a novel application of multi-spell discrete-time survival analysis for a sample of cartels that were prosecuted by the European Commission (EC) between 1996 and 2014. The start of an EC investigation does not affect the rate at which...

To establish stock-versus-flow orientations of a commodity, the mediating role of inventories in price formation is considered. This framework is tested by examining responses of COMEX gold, silver, and copper to macroeconomic news releases. Standard responsiveness-tests, which ignore the role...

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

The present article is an attempt to reconstruct a macro-dynamic theory of the monetary economy on the basis of the theory of monopolistically competitive firms formulated as a micro-foundation for the decentralized price mechanism. It shows how the micro-founded theorization of the very...

It is shown that risk-sharing examined in Rothschild and Stiglitz (1976) has a perfect Nash equilibrium, which is unique, incentive-efficient and continuous in all parameters of the economy. Competition in individual markets of a perfectly competitive economy is generally imperfect and allows...

This paper considers a dynamic duopoly market with strategic, price setting firms and an infinite set of fully rational, privately informed consumers who enter the market sequentially. I show that there exists a sequential equilibrium in which prices converge to their realized product qualities...

This paper examines the impact of public information in an economy where agents also have diverse private information. Since disclosures by central banks are an important source of public information, we are able to assess how the words of central bankers shape expectations, in addition to their...

We consider a 2-period model in which buyers can store the good - purchasing in advance of consumption so as to realize potential gains from inter-temporal price arbitrage - and examine the impact of market structure on the resulting inter-temporal price path and allocation. The main result is...