Forcing firms to talk: financial disclosure regulation and externalities

We analyze a model of voluntary disclosure by firms and thedesirability of disclosure regulation. In our model disclosureis costly, it has private and social value, and its precisionis endogenous. We show that (i) a convexity in the value ofdisclosure can lead to a discontinuity in the disclosure policy;(ii) the Nash equilibrium of a voluntary disclosure game isoften socially inefficient; (iii) regulation that requires aminimal precision level sometimes but not always improves welfare;(iii) the same is true for subsidies that change the perceivedcost of disclosures; and (iv) neither regulation method dominatesthe other.     

A theory of intraday patterns: volume and price variability

This article develops a theory in which concentrated-tradingpatterns arise endogenously as a results of the strategic behaviorof liquidity traders and informed traders. Our results providea partial explanation for some of the recent empirical findingsconcerning the patterns of volume and price variability in intradaytransaction data.     

Divide and conquer: a theory of intraday and day-of-the-week mean effects

This article develops a model in which patterns in buy and sellvolume, order imbalances, and expected price changes arise endogenously.The model covers cases in which the market maker is competitiveand is a monopolist. Our results provide an explanation forthe existence of patterns in mean returns within the tradingday and across trading days.     

Broadcasting Opinions with an Overconfident Sender*

We analyze a model where an altruistic, but possibly overconfident sender broadcasts one of a finite set of messages to rational receivers. If broadcasting is costless and the sender is rational, there is an informationally efficient equilibrium, but multiple equilibria may arise, and asymmetric equilibria might be more informative than the symmetric equilibrium even if the prior is symmetric. Although overconfidence on the part of the sender reduces informativeness in some cases, it may also eliminate less informative equilibria and lead to better information transmission. Overconfidence can also improve the informativeness of the message when broadcasting is costly.