Finance Theory Group

Information sales and strategic trading

Francesco Sangiorgi , Diego Garcia Aug 02,2023

Working Paper No.00116-00

We study information sales in financial markets with strategic risk-averse traders. Our main result establishes that the optimal selling mechanism... Read More

Asymmetric information, security design, and the pecking (dis)order

Dirk Hackbarth, Paolo Fulghieri , Diego Garcia Aug 02,2023

Working Paper No.00117-00

We study a security design problem under asymmetric information, in the spirit of Myers and Majluf (1984). We introduce a... Read More

The Equilibrium Consequences of Indexing

Philip Bond , Diego Garcia Aug 02,2023

Working Paper No.00118-00

We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur... Read More

Optimal contracts with privately informed agents and active principals

Diego Garcia Aug 02,2023

Working Paper No.00119-00

This paper considers an optimal contracting problem between an informed risk-averse agent and a principal, when the agent needs to... Read More

Noise and aggregation of information in large markets

Branko Urosevic, Diego Garcia Aug 02,2023

Working Paper No.00120-00

We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that,... Read More

Overconfidence and market efficiency with heterogeneous agents

Branko Urosevic, Francesco Sangiorgi , Diego Garcia Aug 02,2023

Working Paper No.00121-00

We study financial markets in which both rational and overconfident agents coexist and make endogenous information acquisition decisions. We demonstrate... Read More