Research
| Supervisor: |
Dr. Rohit Rahi
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| Research Interests: |
market microstructure
market regulation
herding and informational cascades |
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| Job Market Paper: |
Endogenous
Information Acquisition with Sequential Trade [pdf]
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I study how endogenous
information acquisition affects financial markets by modelling
potentially informed traders who optimally acquire variable information
at increasing cost. With a competitive market maker, my model can
explain the dynamic behaviour of informed trading and transaction
volume. Three proxies for informed trading derived under the exogenous
information assumption (spreads, Easley O'Hara's PIN and blockholder
interest) may not agree with each other. With a monopolistic market
maker, results also deviate from the exogenous benchmark. He can set
narrower spreads than a competitive market maker in early periods. On
average, spreads can widen over time. |
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| Working papers: |
Confidential
Treatment Requests (with Terence Teo) [pdf] |
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We study the impact of confidential
treatment
requests made by institutional investors to the Securities and Exchange
Commission (SEC) to delay disclosure of their holdings. The SEC
requires the manager to present a coherent on-going trading program in
his request for confidential treatment. If granted, he is restricted to
trade in a manner consistent with his reported forecast in the
subsequent period. Under the restriction, the manager earns higher
expected profits by applying for confidential treatment only if his
probability of success exceeds a threshold. The model predicts that the
price impact of a disclosed trade due to a confidential treatment
request denial is greater than that of a disclosed trade where there is
no request. |
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