Disclosure, Competition, and Learning from Asset Prices

This paper studies the classic information-sharing problem in a duopoly setting in which firms learn information from a financial market. By disclosing information, a firm incurs a proprietary cost of losing competitive advantage to its rival firm but benefits from...

Uploaded: Nov 21, 2017

Yaron Leitner, Bilge Yilmaz, Bilge Yilmaz | Working Paper No. 00016-00

Regulating a model (JFE, forthcoming)

We study a situation in which a regulator relies on risk models that banks produce in order to regulate them. A bank can generate more than one model and choose which models to reveal to the regulator. The regulator can...

Uploaded: Oct 8, 2017

Florian Hoffmann, Florian Hoffmann, Roman Inderst, Roman Inderst, Marcus Opp | Working Paper No. 00015-00

Only time will tell: A Theory of Deferred Compensation

We characterize optimal contracts in settings where the principal observes informative signals over time about the agent's one-time action. If both are risk-neutral contract relevant features of any signal process can be represented by a deterministic informativeness process that is...

Published: American Economic Review, 2020

Brendan Daley, Brett Green | Working Paper No. 00022-00

Bargaining and News

We study a bargaining model in which a buyer makes frequent offers to a privately informed seller, while gradually learning about the seller’s type from “news.” We show that the buyer’s ability to leverage this information to extract more surplus...

Uploaded: Mar 15, 2017

Efstathios Avdis | Working Paper No. 00013-00

Information Tradeoffs in Dynamic Financial Markets

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as "noise," in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors...

Uploaded: Mar 15, 2017

Efstathios Avdis, Efstathios Avdis, Efstathios Avdis, Masahiro Watanabe, Masahiro Watanabe | Working Paper No. 00019-00

Rational-expectations whiplash

We present a financial market with investors who have nested private information. Small perturbations of price informativeness, originating from fat-finger errors or algorithmic glitches of well-informed investors, can trigger an oscillating shock throughout the economy that destabilizes the feedback loop...