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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 pricing functions on trading in each asset. Using daily non-public data from the New York...
Persistent link: https://www.econbiz.de/10010638189
regarding leverage ratios and announcement effects, and can also explain observed violations of the pecking-order hypothesis.
Persistent link: https://www.econbiz.de/10011082144
We document a new stylized fact regarding the term-structure of futures volatility. We show that the relationship between the volatility of futures prices and the slope of the term structure of prices is non-monotone and has a \V-shape". This aspect of the data cannot be generated by basic...
Persistent link: https://www.econbiz.de/10005069490
We revisit Kyle’s (Econometrica 53:1315–1335, <CitationRef CitationID="CR11">1985</CitationRef>) model of price formation in the presence of private information. We begin by using Back’s (Rev Financ Stud 5(3):387–409, <CitationRef CitationID="CR1">1992</CitationRef>) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution...</citationref></citationref>
Persistent link: https://www.econbiz.de/10010993534
Using trade and quote data from the NYSE, we examine the relation between dealer attention, dealer revenue, and the probability of informed trade. We find that dealer revenue net of losses to better-informed traders in NYSE stocks is positively related to the speed at which quotes adjust to full...
Persistent link: https://www.econbiz.de/10005006311
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...
Persistent link: https://www.econbiz.de/10010683075
Persistent link: https://www.econbiz.de/10010642747
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,...
Persistent link: https://www.econbiz.de/10011183951
We document a new stylized fact regarding the term-structure of futures volatility. We show that the relationship between the volatility of futures prices and the slope of the term structure of prices is non-monotone and has a "V-shape". This aspect of the data cannot be generated by basic...
Persistent link: https://www.econbiz.de/10005763991
We document a new stylized fact, that the relationship between the volatility of oil futures prices and the slope of the forward curve is nonmonotone and has a V-shape. This pattern cannot be generated by standard models that emphasize storage. We develop an equilibrium model of oil production...
Persistent link: https://www.econbiz.de/10005044986