We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in closed form when arbitrageurs’ utility over consumption is logarithmic or risk-neutral with a non-negativity constraint. Liquidity is increasing...

Az utóbbi hónapokban számos írás jelent meg a Közgazdasági Szemle hasábjain, amelyek a magyarországi közgazdasági oktatás és kutatás különböző jellemzőit vették górcső alá. Írásunkkal ehhez a párbeszédhez szeretnénk hozzájárulni. Áttekintjük, hogy szerintünk...

A közgazdaságtanban általában a cégekre olyan szereplőkként gondolunk, amelyek csak anonim piaci mechanizmuson keresztül érintkeznek egymással. Ezzel szemben a valóságban a cégek életében fontos szerepet játszanak a gazdaság más, konkrét szereplőivel meglévő kapcsolataik....

We develop a dynamic model of trading and investment with limited aggregate resources to study investment cycles. Unverifiable idiosyncratic investment opportunities imply market prices to play a role of rent distribution, distorting private investment incentives from a social point of view....

This paper studies the adverse price effects of convergence trading. I assume two assets with identical cash flows traded in segmented markets. Initially, there is gap between the prices of the assets, because local traders’ face asymmetric temporary shocks. In the absence of arbitrageurs, the...

We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some managers have superior information on the default probability. Looking at the past performance, investors update beliefs on their managers and make firing decisions. This leads to...

I develop an equilibrium model of convergence trading and its impact on asset prices. Arbitrageurs optimally decide how to allocate their limited capital over time. Their activity reduces price discrepancies, but their activity also generates losses with positive probability, even if the trading...

I allow trading horizon heterogeneity across groups in a standard differential information model of a financial market. This approach can explain the well-established phenomenon that, after a public announcement, trading volume increases, more private information is incorporated into prices and...

We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices. We introduce delegation into a standard Lucas exchange economy, where in equilibrium some investors trade on their own account, but others decide to delegate trading to...