Smart Money and Investor Sentiment [with Brian Waters, Wei Zhou, and Shrihari Santosh]
- We model how the sales of trading advantages (e.g., data and collocation services) affect traders' endogenous participation in a market and vice-versa.- A non-technical summary by Knowledge@Wharton
- A simple theory that offers joint predictions on the pricing implications of disagreement and skewness in a frictionless framework
- Informational inefficiencies in collective decision problems (public good projects, corporate-level investments, etc) can be eliminated with a partially informed designer (government, corporate headquarters, etc).- R&R, Journal of Economic Theory
- Scattered structures can increase information production.
- Dealers can over-compete because the holding dealer imposes a negative externality on non-holding dealers.
- A theory of using higher moments in performance evaluation- NBER Working Paper No. 19500
- An imperfectly informed broker can achieve full efficiency in bilateral bargaining with asymmetric information.
Journal of Financial Intermediation, 38, April 2019, pp. 11-18 [SSRN]