We analyze a model in which different traders are informed of different fundamentals that
affect the security value. We identify a source for strategic complementarities in trading and …

We study a model in which a capital provider learns from the price of a firm's security in
deciding how much capital to provide for new investment. This feedback effect from the …

Governments intervene in firms' lives in a variety of ways. To enhance the efficiency of
government intervention, many researchers and policy makers call for governments to make …

We develop a model where some investors are uncertain whether others are trading on
informative signals or noise. Uncertainty about others leads to a nonlinear price that reacts …

Regulations that require asset issuers to disclose payoff-relevant information to potential
buyers are often called “investor protection.” But even when they improve real economic …

This paper analyzes the effects of public information in a perfect competition trading model
populated by asymmetrically informed short‐horizon investors with different levels of private …

We propose a theory of asset prices that emphasizes heterogeneous information as the
main element determining prices of different securities. Our main analytical innovation is in …

We develop a dynamic nonlinear, noisy REE model of credit risk pricing under dispersed
information that can theoretically and quantitatively account for the credit spread puzzle. The …

We study learning and uncertainty under the factor investing paradigm using an
endogenous information model with correlated assets. As investors shift attention from firms …

I develop a noisy rational expectations equilibrium model with a continuum of states and a
full set of options that render the market complete. I show a major difference in equilibrium …