Extreme adverse selection arises when private information has unbounded support, and market breakdown occurs when no trade is the only equilibrium outcome. We study extreme adverse selection via the limit behavior of a financial market as the support of private information converges to an...

Extreme adverse selection arises when private information has unboundedsupport, and market breakdown occurs when no trade is the only equilibriumoutcome. We study extreme adverse selection via the limit behavior of afinancial market as the support of private information converges to an...

Extreme adverse selection arises when private information has unbounded support, and market breakdown occurs when no trade is the only equilibrium outcome. We study extreme adverse selection via the limit behavior of a financial market as the support of private information converges to an...

This paper studies the causal effect of individuals' overconfidence and bounded rationality on asset markets. To do that, we combine a new market mechanism with an experimental design, where (1) players' interaction is centered on the inferences they make about each others' information, (2)...

Atiase [1980] hypothesized that private information production and dissemination prior to an earnings announcement is an increasing function of firm size. The economic rationale behind this hypothesis was that large firms have higher share liquidity, which conceals informed trade and increases...

Extreme adverse selection arises when private information has unbounded support, and market breakdown occurs when no trade is the only equilibrium outcome. We study extreme adverse selection via the limit behavior of a financial market as the support of private information converges to an...

This paper examines how market prices, volume, and traders' dividend expectations respond to public information releases in laboratory markets for a long-lived financial asset. The objective is to study deviations from the symmetric information risk-neutral rational expectations (RE) benchmark,...

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities that facilitate trading common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously-chosen proportions, composite...

Our research question focuses on how more informatives prices affect operators. Above all, I wonder who are the winners and the losers of the lower risk generated by a higher price informativeness. I study a two-period model with a spot market and a futures market for a commodity. Hedgers are...

We investigate the impacts of the short-termism on multiple equilibria in a dynamic rational expectations equilibrium model. We find that short-termism is not the cause of equilibrium multiplicity but affects market quality of all equilibria. The liquidity, price efficiency and expected trading...