A model of insider trading is used to analyze the behavior of trading volume in financial markets characterized by asymmetric information. This model extends the one in Bhattacharya and Nicodano (2001) by introducing competition among informed traders and imperfection of their private...

This paper considers share repurchases as the way long-term shareholders preserve their ability to use corporate information for speculative purposes when insider trading regulation is enforced. This use of corporate information increases the adverse selection losses of short-term shareholders....

This paper considers share repurchases as the way long-term shareholders preserve their ability to use corporate information for speculative purposes when insider trading regulation is enforced. This use of corporate information increases the adverse selection losses of short-term shareholders....

Is a more transparent market also more efficient and liquid? We address this question by analyzing the impact of mandatory ex-post disclosure of corporate insider trades in a dynamic model of strategic risk averse insider trading. We show that trade disclosure reduces informational efficiency of...

We propose a theory of self-selection by mutual fund managers into picking and timing strategies. With adverse selection, investors learn more easily about the skill of picking funds than of timing funds, since picking investments are less correlated than timing investments. The equilibrium...

Decomposing mutual funds' tracking error into its idiosyncratic and systematic components is informative about funds' intention to implement picking and timing strategies. Accordingly, we define the fraction of a fund's active return variance that is idiosyncratic as the fund's degree of picking...

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

This paper studies the dynamic risk management of highly-levered financial institutions within a structural model of credit risk. We consider a context in which systemic default induces externalities that amplify the private cost of financial distress. This represents a source of strategic...

We study the decision making of a financial institution in the presence of a novel implementation friction that gives rise to operational risk. Operational risk naturally arises whenever the institution faces a trade-off between adopting a more sophisticated investment model and one that is less...

We study qualitative information disclosure by mutual funds when investors learn from these disclosures in addition to past performance. We show theoretically that fund managers with specialized strategies optimally choose to disclose detailed strategy descriptions, while managers with...