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Asset Price Dynamics with Limited Attention
Transitory Volatility Limited Attention Individuals Market Makers Asset Pricing Financial Markets
2015/4/27
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010)...
Price Coherence and Adverse Intermediation
Intermediaries Platforms Two-Sided Markets Price Coherence Price Two-Sided Platforms
2015/4/27
Suppose an intermediary provides a benefit to buyers when they purchase from sellers using the intermediary's technology. We develop a model to show that the intermediary will want to restrict sellers...
Stock Price Fragility
Financial Liquidity Stocks Price Market Transactions Ownership Risk and Uncertainty
2015/4/22
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptibl...