Papers
Published: American Economic Review, 2020
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
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
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...
Uploaded: Feb 1, 2017
Bank capital and the composition of credit
We propose a general equilibrium framework to analyze the cross-sectional distribution of credit and its exposure to shocks to the financial system, such as changes to bank capital, capital requirements, and interest rates. We characterize how over- and underinvestment in...
Uploaded: Jan 6, 2017
Risk Preferences and the Macro Announcement Premium
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Uploaded: Dec 30, 2016
A Dynamic Model of Optimal Creditor Dispersion
Firms often choose to raise capital from multiple creditors even though doing so may lead to inefficient liquidation caused by coordination failure. Potential coordination failure can, however, improve a firm’s incentive to repay its debt, thus increasing its debt capacity....
