We develop a new instrument to analyze how exogenous changes in mortgage rates affect house values. Our instrument combines annual changes in the conforming loan limit (CLL) with the 80% loan-to-value threshold, which is commonly used in the approval of conforming loans. Houses that become...

We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting effect of price-impact avoidance on order submission. Although fragmentation reduces market depth on each exchange, it...

In many jurisdictions, equity market regulation requires traders to honor the best quotes on all marketplaces, often forcing brokers to split client trades across multiple markets.Markets react strongly: we show that such split trades have double the price impact of single-market trades. The...

We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting effect of price-impact avoidance on order submission. Although fragmentation reduces market depth on each exchange, it...

The rise of big data and sophisticated, machine learning algorithms is increasing the prevalence of price discrimination and even personalized pricing. In traditional models, where consumers' willingness-to-pay (WTP) is a function of preferences (and budget constraints), price discrimination is...

This paper investigates how increases in concentration can be interrupted or reversed by changes in how firms compete on quality. We examine the U.S. hotel industry during the past half century. We document that starting in the early 1980s, quality competition came more in the form of costs that...