Papers
Only time will tell: A Theory of Deferred Compensation
Uploaded: Oct 8, 2017
We characterize optimal contracts in settings where the principal observes informative signals over time about the agent's one-time action. If both are risk-neutral contract relevant features of any signal process can be represented by a deterministic informativeness process that is...
Bargaining and News
Published: American Economic Review, 2020
We study a bargaining model in which a buyer makes frequent offers to a privately informed seller, while gradually learning about the sellerās type from ānews.ā We show that the buyerās ability to leverage this information to extract more surplus...
Information Tradeoffs in Dynamic Financial Markets
Uploaded: Mar 15, 2017
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...
Rational-expectations whiplash
Uploaded: Mar 15, 2017
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...
Bank capital and the composition of credit
Uploaded: Feb 1, 2017
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...
Risk Preferences and the Macro Announcement Premium
Uploaded: Jan 6, 2017
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...
