We study how environmental, social and governance (ESG) investing reshapes information
aggregation by prices. We develop a rational expectations equilibrium model in which …

Abstract “Big data” financial technology raises concerns about market inefficiency. A
common concern is that the technology might induce traders to extract others' information …

We develop a benchmark model to study the equilibrium consequences of indexing in a
standard rational expectations setting. Individuals incur costs to participate in financial …

We empirically examine the effects of index investing using predictions derived from a
Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower …

We show that outcomes (parameter estimates and R-squareds) of regressions of prices on
fundamentals allow us to recover exact measures of the ability of asset prices to aggregate …

We develop an equilibrium model of emissions permit trading in the presence of fixed and
proportional trading costs in which the permit price and firms' participation in and extent of …

We propose a model in which investors cannot costlessly process information from asset
prices. At the trading stage, investors are boundedly rational, and their interpretation of …

This paper characterizes the optimal transaction tax in an equilibrium model of financial
markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading …

We develop a model to study the efficiency of socially responsible investments (SRI) as a
market-based mechanism to control firms' externalities. When responsible and profit …

The promotion of innovation by the market transaction mechanism is affected by the
perfection of the market system, the support of government policies, and companies' …