We present a simple yet fully rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining the presence and dynamics of financial quot;bubblesquot;. Because our model has a finite horizon, our explanation for the existence of bubbles is...

In this paper, we propose an explanation for biases in portfolio choice. We show that if individuals compete for local resources within their community, their utility depends on their own wealth as well as aggregate community wealth. This leads to an externality in portfolio choice. If investors...

We present a simple yet fully rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining the presence and dynamics of financial quot;bubbles.quot; Because our model has a finite horizon, our explanation for the existence of bubbles is...

We study security-bid auctions in which bidders compete for an asset by bidding with securities. That is, they offer payments that are contingent on the realized value of the asset being sold. The value depends on investment by the winner, thus creating the possibility of moral hazard. Such...

We consider the release of information by a firm when the manager has discretion regarding the timing of its release. While it is well known that firms appear to delay the release of bad news, we examine how external information about the state of the economy (or the industry) affects this...

We consider the release of information by a firm when the manager has discretion regarding the timing of its release. While it is well known that firms appear to delay the release of bad news, we examine how external information about the state of the economy (or the industry) affects this...

We apply gradient strategy methods, developed in the literature on robust optimization, approachability and calibration, to develop new bounds for option prices. While this literature focuses on asymptotic performance, we provide a financial interpretation of these methods by demonstrating how...

We present a rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining financial bubbles. We consider a finite-horizon overlapping generations model in which agents care only about their consumption. Though the horizon is finite,...

We consider a principal-agent model in which the agent needs to raise capital from the principal to finance a project. Our model is based on DeMarzo and Fishman (2003), except that the agent's cash flows are given by a Brownian motion with drift in continuous time. The difficulty in writing an...

This paper considers the problem faced by a financial intermediary with n assets to sell in the presence of asymmetric information. I show that when the intermediary has superior information about the value of each asset, the intermediary is better off selling shares in the assets individually...