We analyze competition among informed traders in the continuous-time Kyle (1985) model, as Foster and Viswanathan (1996) do in discrete time. We confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when traders have identical information. When traders'...

Portfolio turnpike theorems show that if preferences at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy as the horizon increases. We state and prove two simple and general portfolio turnpike theorems. Unlike existing...

We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and...

Mutual funds seek alpha, but coskewness is also an important performance attribute. Alpha and coskewness relative to the market are negatively correlated in theory, so funds may generate undesirable coskewness in the pursuit of alpha. Empirically, the tradeoff exists for mutual funds and is...

We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can produce either positive or negative...

The coskewness-cokurtosis pricing model is equivalent to there not being any return for which the alpha is positive and for which the residual risk has positive coskewness and negative cokurtosis with the market. Such returns would be extremely attractive to investors with...

We test the recent Fama-French five-factor model and Hou-Xue-Zhang four-factor model using test assets from Fama-MacBeth regressions, which are pure plays on particular characteristics or covariances. Our tests resolve the errors-in-variable bias in Fama-MacBeth regressions with estimated betas....

Mediator proposals can accelerate agreement and increase welfare even if the mediator is entirely uninformed. We demonstrate this by adding random mediation to the Cramton (1992) bargaining model. Mediation increases welfare by pooling types, which reduces signaling costs. When mediation is...

We solve a dynamic Kyle model in which the large investor's private information concerns her plans for taking an active role in governance. We show that once a block has been created, its continued existence is jeopardized by an increase in the liquidity of the firm's stock. Greater liquidity...

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...