This paper documents that crowding by market participants affects the expected return to popular factor strategies such as value, momentum, and carry. Using data published by the CFTC for commodity futures markets, we construct a direct measure of factor strategy crowding that is based on the...

I study voluntary disclosure of oligopoly firms when they learn information from asset prices. By disclosing information, a firm incurs a cost of losing competitive advantage to its rivals but benefits from learning from a more informative asset market. Adding a financial market helps the...

We show that a linear pure strategy equilibrium may not exist in Madrigal's (1996, Journal of Finance) setup, contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second-order condition. If the non-fundamental...