We solve a multi-period model of strategic trading with long-lived information in multiple assets with correlated innovations in fundamental values. Market makers in each asset can only condition their price functions on trading in the that asset (but not on trading in the other asset). Using...

This paper analyzes the equilibrium trading strategies of informed traders in the presence of market closures defined as periodic predictable stops of trading. We construct a dynamic auction model based on rational strategic behavior with asymmetric information across the agents. Empirical...

regarding leverage ratios and announcement effects, and can also explain observed violations of the pecking-order hypothesis.

We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly includes trading acceleration and deceleration...

Price quotes are a valuable commodity by themselves. This is a conundrum in the standard asset pricing framework. We study the value of access to accurate and timely prices in a market economy explicitly taking into account that in the U.S., exchanges have property rights in the price quotes...

The paper characterizes both the optimal (revenue-maximizing) and constrained-efficient (surplus maximizing) mechanisms for allocating a good to buyers who face budget constraints. With unequal budgets, this problem is that of asymmetric optimal mechanism design. Both the optimal and efficient...

We study the risk sharing implications that arise from introducing a disaster relief fund to the cat insurance market. Such a form of intervention can increase efficiency in the private market, and our design of disaster relief suggests a prominent role of catastrophe reinsurance. The model...

We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where...

My dissertation aims to explain a number of empirical findings about valuation and performance of diversified firms using the model of optimal diversification. It contains two chapters. The first chapter of the dissertation proposes a model of optimally diversified firm and shows that the main...

We consider optimal incentive contracts when managers can, in addition to shirking or diverting funds, increase short term profits by putting the firm at risk of a low probability "disaster." To avoid such risk-taking, investors must cede additional rents to the manager. In a dynamic context,...