Strategic financial innovation in segmented markets
We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...
Efficiency properties of rational expectations equilibria with asymmetric information
In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...
Informed Trading, Investment, and Welfare
This paper studies the welfare economics of informed trading in a stock market. We provide a model in which all agents are rational and trade either...
Should Speculators be Taxed?
A number of economists have supported the taxation of speculation in financial markets. We examine the welfare economics of such a tax in a model of...
Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
