scholarly journals Risk Sharing in Private Information Models With Asset Accumulation: Explaining the Excess Smoothness of Consumption

Econometrica ◽  
2011 ◽  
Vol 79 (4) ◽  
pp. 1027-1068 ◽  
Keyword(s):  
Private Information ◽  
Risk Sharing ◽  
Asset Accumulation ◽  
Information Models

Debt Maturity and Asymmetric Information: Evidence from Default Risk Changes

2013 ◽  
Vol 48 (3) ◽  
pp. 789-817 ◽  
Author(s):  
Vidhan K. Goyal ◽  
Wei Wang
Keyword(s):  
Asymmetric Information ◽  
Private Information ◽  
Default Risk ◽  
Important Determinant ◽  
Debt Maturity ◽  
Short Term ◽  
Information Models ◽  
Asset Volatility ◽  
Distance To Default

AbstractAsymmetric information models suggest that a borrower’s choice of debt maturity depends on its private information about its default probabilities, that is, borrowers with favorable information prefer short-term debt while those with unfavorable information prefer long-term debt. We test this implication by tracing the evolution of debt issuers’ default risk following debt issuances. We find that short-term debt issuance leads to a decline inborrowers’ asset volatility and an increase in their distance to default. The opposite is true for long-term debt issues. The results suggest that borrowers’ private information about their default risk is an important determinant of their debt maturity choices.

scholarly journals Consumption risk sharing with private information and limited enforcement

2017 ◽  
Vol 23 ◽  
pp. 170-190 ◽  
Author(s):  
Tobias Broer ◽  
Marek Kapička ◽  
Paul Klein
Keyword(s):  
Private Information ◽  
Risk Sharing ◽  
Limited Enforcement ◽  
Consumption Risk

scholarly journals Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes

2018 ◽  
Vol 53 (4) ◽  
pp. 1509-1546 ◽  
Author(s):  
Ohad Kadan ◽  
Roni Michaely ◽  
Pamela C. Moulton
Keyword(s):  
Private Information ◽  
Information Acquisition ◽  
Trading Strategies ◽  
Data Set ◽  
Liquidity Provision ◽  
Information Models ◽  
Trading Patterns ◽  
Informed Traders ◽  
Theoretical Predictions ◽  
Informational Advantage

We use a proprietary data set to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publicly announced. We provide the first empirical evidence supporting theoretical predictions that early-informed traders “sell the news” after “buying the rumor.” Further, we find distinct profit-taking patterns across different classes of institutions. Uninformed institutions, but not individuals, emerge as de facto liquidity providers to better-informed institutions. Placebo tests confirm that these trading patterns are unique to situations in which some investors have a short-lived informational advantage.

Risk sharing contracts with private information and one-sided commitment

2018 ◽  
Vol 68 (1) ◽  
pp. 53-81
Author(s):  
Eduardo Zilberman ◽  
Vinicius Carrasco ◽  
Pedro Hemsley
Keyword(s):  
Private Information ◽  
Risk Sharing
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