Guner Velioglu, Semih Uslu Feb 06,2024
Working Paper No.00138-00
We develop a dynamic model of a multi-asset over-the-counter (OTC) market that operates via search and bargaining and empirically test... Read More
Bart Yueshen Zhou, Markus Baldauf Joshua Mollner May 16,2024
Working Paper No.00094-01
We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs.... Read More
Published: Journal of Financial Economics, 2024, 154(), 103807-James Dow , Jungsuk Han Francesco Sangiorgi Jun 24,2024
Working Paper No.00140-00
Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model... Read More
christoph frei, Markus Baldauf Joshua Mollner Jun 12,2024
Working Paper No.00095-02
We study the optimal execution problem in a principal-agent setting. A client contracts to purchase from a dealer. The dealer... Read More
Published: Journal of Financial Economics, 2024, 160(), 103901-Zhiqiang Ye, Xavier Vives Aug 01,2024
Working Paper No.00141-00
We study fintech entry and how it affects competition, investment, and welfare in a spatial model. We find that fintechs... Read More
Douglas Xu, Shiyang Huang Lin William Cong (叢林) Nov 21,2024
Working Paper No.00133-01
We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that... Read More
Yu An Apr 30,2023
Working Paper No.00099-00
I introduce a new approach, model, and definition for analyzing demand effects in asset pricing. My approach generalizes arbitrage pricing,... Read More
Shiyang Huang , Alexandr Kopytov Jul 22,2023
Working Paper No.00112-00
We build a model analyzing optimal environmental regulation in the presence of socially responsible investors. Investors care about sustainability of... Read More
Michael Woeppel, Jordan Martel Aug 03,2023
Working Paper No.00124-00
We present a model of secured lending in which borrowers and lenders agree to disagree about collateral values. Lenders' beliefs... Read More
Christian Heyerdahl-Larsen,Howard Kung, Philipp Illeditsch Aug 20,2023
Working Paper No.00126-00
We study a macro-finance model with entrepreneurs who have diverse views about the likelihood that their ideas will lead to... Read More