This paper studies how mandatory transparency (through TRACE), along with long term incentive of informed dealers, affect market price informativeness, liquidity and welfare in dynamic over-the-counter (OTC) markets. We show public disclosure of additional information about past trades,...

We consider a simple equilibrium model of active fund managers and consumers. Our model features zero net-of-fee alpha in equilibrium. However, using a common, but misspecified, model for the stochastic discount factor (SDF) implies positive measured alpha. This note, thus, warns against...

We offer a parsimonious model to investigate how strategic wind producers sell energy under stochastic production constraints, where the extent of heterogeneity of wind energy availability varies according to wind farm locations. The main insight of our analysis is that increasing heterogeneity...

The economic shutdown associated with the COVID-19 pandemic witnessed a dramatic surge in drawdowns on pre-existing credit lines. This paper examines how this liquidity was used by firms. Drawdowns were associated with an accumulation of liquid assets, suggesting a precautionary motive to...

This paper studies how public disclosure of past trade details affects price discovery dynamics under asymmetric information with heterogenous hedging motives. We model that an informed buyer (informed trader) sequentially trades with a series of uninformed sellers (hedgers). The informed buyer...

We study the optimal size and composition of an advisory committee when shareholders differ in preferences and beliefs and strategically acquire and communicate information. If shareholders and management have similar objectives but disagree due to different beliefs, and information is cheap,...

We propose an amplification mechanism of financial crises based on the information choice of investors. Adverse news about the solvency of a debtor raises the value of private information and therefore induces the acquisition of information. Informed investors rely more on private information...

We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...