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We propose a parsimonious model of over-the-counter trading with asymmetric information to rationalize the existence of intermediation chains that stand between buyers and sellers of assets. Trading an asset through several heterogeneously informed intermediaries can preserve the efficiency of trade by reallocating an information asymmetry over many(More)
Written for the " Better Living Through Economics " sessions at the American Economics Association meetings, January 4-7, 2008. We thank Peter Orszag and Mark Iwry for their insights on how the " autosave " features of the Pension Protection Act evolved from concept into law. We acknowledge individual and collective financial support from the National(More)
We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain.(More)
Walking is the primary form of physical activity performed by people with Multiple Sclerosis (MS), therefore it is important to ensure the validity of tools employed to measure walking activity. The aim of this study was to assess the criterion validity of the activPAL3 activity monitor during overground walking in people with MS. Validity of the activPAL3(More)
I use the cross section of bid-ask spreads to develop a new measure of extreme event risk. Equilibrium spreads embed tail risk information because (1) sharp changes in underlying asset values harm liquidity providers and (2) price movements and potential costs are linear in factor loadings. Using this insight, simple regressions relating spreads and trading(More)
No. Regulation often mandates increased transparency to improve how informative prices are about fundamentals. We show that such policy can be counterproductive. We study the optimal decision of an investor who can choose to acquire costly information not only about asset fundamentals but also about the behavior of liquidity traders. We characterize how(More)