Publications

In July, 1992 Release, the Securities and Exchange Commission [SEC] announced that the Division of Market Regulation was undertaking a “study of the structure of the U.S. equity markets and the regulatory environment in which those markets…

Stock market crashes are rare, highly visible, and difficult to explain — a combination that evokes serious debate about the underlying causes of stock price movements. Keynes’ dismissal of liquid stock markets as promoting ‘a game of Snap, of…

The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce…

This paper addresses the question of what one can learn from observing cross-sectional and time series variations in the volatility of prices in an arbitrage-free securities market. We introduce the notions of stochastic derivatives, marginal…

An analysis of the information model is presented to challenge the assertions that the information model and the notion of correlated equilibrium are consequences of the subjectivist, Bayesian view of uncertainty.

The purpose of this paper is to analyze the observed similarity of agents’ decisions. In what follows we will distinguish between clustering, which is the observation that agents’ decisions tend to be very similar, and herding, which is the…

We provide new evidence regarding the degree of integration between the markets for stocks, future and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of…

Concurrent engineering can reduce the time required to develop new products. In contrast to the conventional approach, in which the product design is (nearly) completed before it is “thrown over the wall” to process design group, concurrent…

Recent research on organizational impression management has emphasized that leaders are held responsible not only for managing an organization’s actions, they are also expected to explain and make sense of those actions. When events occur that…

Since the publication of The American Voter (Campbell et al. 1960), most analyses of electoral behavior have focused upon three factors: party identification, issues and candidate attributes. According to the Michigan model, voters have long-…

This paper examines how public disclosure affects private information acquisition activity in a market economy. We analyze a setting where traders with short-term investment horizons are allowed to trade on their private information prior to a…

A non-equilibrium model of rational strategic behavior that can be viewed as a refinement of (normal form) rationalizability is developed for both normal form and extensive form games. The resulting solution concept, called a tau-theory, allows…

This article analyzes renegotiation in an agency model where a principal observes a noisy signal about the agent’s effort before the renegotiation. This signal is not verifiable by an outsider or is not contractible in the initial contract.…

Abstract not available.

Theorists disagree sharply about the likelihood and consequences of organizational change. This paper suggests that when viewed dynamically, change can be both adaptive and disruptive. Similarly, the same forces that make organizations inert also…

We study environments in which agents may borrow sequentially from more than one lender. Although debt is prioritized, additional lending imposes an externality on prior debt because, with moral hazard, the probability of repayment of prior…

Strategic management theorists face a dilemma in choosing methods for studying strategy formulation and strategic decision making. The choice of a research method involves inherent trade-offs of generalizability, control, and realism. This paper…

Organizations often hire workers whom they will not promote, a practice we believe triggers career interdependence, where hiring nonpromotable workers sometimes harms but in some cases helps the mobility chances of other employees. We identify…