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Trading Costs and Informational Efficiency

Dávila, Eduardo - 2019

We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex-ante identical: price informativeness is independent of the level of trading costs....

Persistent link: https://www.econbiz.de/10012890471

Private Information and Sunspots in Sequential Asset Markets

Benhabib, Jess - 2014

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...

Persistent link: https://www.econbiz.de/10013055498

Impediments to Financial Trade : Theory and Applications

Garleanu, Nicolae - 2016

We propose a tractable model of an informationally inefficient market featuring non-revealing prices, no noise traders, and general assumptions on preferences and payoff distributions. We show the equivalence between our model and a substantially simpler model whereby investors face...

Persistent link: https://www.econbiz.de/10012982023

Efficiency and Information Transmission in Bilateral Trading

Shimer, Robert - 2015

We study pairwise trading mechanisms in the presence of private information and limited commitment, whereby either trader can walk away from a proposed trade when he learns the trading price. We show that when one trader's information is relevant for the other trader's value of the asset,...

Persistent link: https://www.econbiz.de/10013017078

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, Nicolae - 2015

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

Persistent link: https://www.econbiz.de/10013015107

Augmenting Markets with Mechanisms

Antill, Samuel - 2017

We explain how the common practice of size-discovery trade detracts from overall financial market efficiency. At each of a series of size-discovery sessions, traders report their desired trades, generating allocations of the asset and cash that rely on the most recent exchange price. Traders can...

Persistent link: https://www.econbiz.de/10012940800

Long Run Growth of Financial Technology

Farboodi, Maryam - 2017

In most sectors, technological progress boosts efficiency. But financial technology and the associated data-intensive trading strategies have been blamed for market inefficiency. A key cause for concern is that better technology might induce traders to extract other's information from order flow...

Persistent link: https://www.econbiz.de/10012955436

Fads, Martingales, and Market Efficiency

Lehmann, Bruce Neal - 2021

Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial … experience sizeable return reversals over the subsequent week in a way that reflect apparent arbitrage profits. These measured … arbitrage profits persist after corrections for the mismeasurement of security returns because of thin trading and bid …

Persistent link: https://www.econbiz.de/10013224970

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 2011

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10013118691

Premium Transparency in the Medicare Advantage Market : Implications for Premiums, Benefits, and Efficiency

Stockley, Karen - 2014

In the Medicare Advantage (MA) market, private health insurers compete to offer plans with the most attractive premium and benefit package. Medicare provides a subsidy, based on a "benchmark payment rate", for each Medicare beneficiary a plan enrolls. We investigate how this subsidy, the primary...

Persistent link: https://www.econbiz.de/10013052508