Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
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Can Rare Events Explain the Equity Premium Puzzle?
The Review of Financial Studies, 25 (10), 3037–3076
What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...
Can rare events explain the equity premium puzzle?
Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is...
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Money Illusion and Housing Frenzies
The Review of Financial Studies, 21 (1), 135–180
Money Illusion and Housing Frenzies
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...
