Leveraging an institutional feature that Treasury auctions of different maturities are often held simultaneously, we propose  a method for estimating demand systems for Treasuries, avoiding the usual endogeneity issues in demand estimation. We implement our method using bidding data from...

We examine how intermediary capitalization affects  asset prices in a framework that allows for intermediary market power.  We introduce a model in which capital constrained intermediaries buy or trade an asset in an imperfectly competitive market, and show that weaker...

In traditional over-the-counter markets, investors trade bilaterally through intermediaries. We assess whether and how to shift trades on a centralized platform with trade-level data on the Canadian government bond market. We document that intermediaries charge a markup when trading with ...

We show that short-term debt in a firm’s optimal capital structure reduces investment under asymmetric information. Investors’ interpretation of underinvestment as a positive signal about the quality of the assets in place allows the equity holders to profit from short-term...

An asset owner designs an asset-backed security and a signal about its value. After privately observing the signal, he sells the security to a monopolistic liquidity supplier. Any optimal signal distribution guarantees the security sale and reveals noisy information about...

We review the theory of information cascades and social learning. Our goal is to describe in a relatively integrated and accessible way the more important themes, insights and applications of the literature as it has developed over the last thirty...