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作者：Kelly, Bryan; Ljungqvist, Alexander
作者单位：New York University; University of Chicago; National Bureau of Economic Research
摘要：We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncertain, and the lost signal is more precise. Prices fall partly because expected returns become more sens...
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作者：Albuquerque, Rui
作者单位：Boston University
摘要：Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events...
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作者：Easley, David; de Prado, Marcos M. Lopez; O'Hara, Maureen
作者单位：Cornell University; Cornell University; Harvard University
摘要：Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume time, making it applicable to the high-frequency world, and it does not require the intermediate estimation of non-observable parameters or the application of numerical methods. It does require trades classified as buys or se...
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作者：Linnainmaa, Juhani T.; Saar, Gideon
作者单位：Cornell University; University of Chicago
摘要：This article investigates the information content of signals about the identity of investors and their role in price formation. Whereas we document that investors use multiple brokers, broker identity is nevertheless a powerful signal about the identity of investors who initiate trades. The market also correctly processes this signal: the permanent price impact of orders coming from different brokers fits the information profile of the investors associated with these brokers. Our results sugge...
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作者：Vayanos, Dimitri; Wang, Jiang
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competiti...
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作者：He, Zhiguo
作者单位：University of Chicago
摘要：This article studies a dynamic agency problem in which a risk-averse agent can save privately. In the optimal contract, (i) cash compensations exhibit downward rigidity to failures; (ii) permanent pay raises occur when the agent's historical performance is sufficiently good; (iii) and when the agent is dismissed due to poor performance, he walks away with severance pay to support his post-firing consumption at the current compensation level. Thus, the theory can simultaneously explain the popu...
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作者：Haubrich, Joseph; Pennacchi, George; Ritchken, Peter
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University System of Ohio; Case Western Reserve University
摘要：We develop a model of nominal and real bond yield curves that has four stochastic drivers but seven factors: three factors primarily determine the cross-section of yields, whereas four volatility factors solely determine risk premia. The model is estimated using nominal Treasury yields, survey inflation forecasts, and inflation swap rates and has attractive empirical properties. Time-varying volatility is particularly apparent in short-term real rates and expected inflation. Also, we detail th...
