Information and Asset Pricing

Courses are scheduled from 2:00pm to 5:00pm in EXT 215 on the following Fridays:

December 6, 13, 20 and January 10, 17, 24, 31 and February 7 Feb 

the EXAM is scheduled on February 28

For each topic I have posted below a list of papers. During the class

1. I will cover a few classic papers (marked with a *), which you should try to read prior to the lecture.
2. I will hand out a few sets of assignments that you should do and turn in. They will not be graded, so you are encouraged to discuss them together to solve them. Make sure however to each write your own solution as this will prepare you for the final exam. 
3. In addition, each of you will be asked to present at least 1 paper (chosen from the list with **) in class. 

4. A  presentation should be composed of:

   1. Short non-technical summary of the main contribution relative to existing literature
   2. Detailed description of the main assumptions and sketch of main result proofs
   3. Economic intuition for main results
   4. Substantial comments/criticisms (positive and/or negative) including discussion of assumptions and robustness of the main results
   5. Possible extensions for future research

The Final Grade for the course will be computed based on the following formula:

20%*Presentations + 80%*Final Exam

Final exam will be based on questions similar to the assignments and questions about the * papers and the presented ** papers.

-------------------------------------------------------------

Below is a list of interesting and useful article surveys or books that you may want to consult for the course (or for your research): 

1) Amihud, Mendelson, Pedersen (2005)

2) Biais, Glosten, Spatt (2005)

3) Vayanos and Wang (2011)

4) Vayanos and Wang (2012)

5) Brunermeier (2000)

6) O'hara (1995)

7) Bond, Edmans, and Goldstein (2012)

--------------------------------------------------

Readings for this lecture:

0) Hayek (1945)*

1) Fama (1970)* and Leroy (1989)*

2) Hirschleifer (1971)

3) Tirole (1982)*

4) Milgrom Stokey (1982)*

5) Grossman (1976)*

6) Grossman-Stiglitz (1980)*

6b) Ouyang-Wu (2016)*

7) Hellwig (1980)

8) Diamond and Verrecchia (1981)

9) Breon-Drish (2015)

10) Chabakauri, Yuan, Zachariadis (2020)

11)  Palvolgyi and Venter (2015)

12) Garleanu and Pedersen (2018)

13) Roll (1984) and Roll (1988)**

14) Bai, Philippon, Savov (2016)**

15) Sockin and Xiong (2015)

-------------------------------------------------------------------

Here are the  lecture notes (updated on 08/05/2023). Please do check them for typos and let me know if you find some! Also any comments are welcome.

-----------------------------------------------------------------

Assignment 1 (Assignments are NOT graded. They will help you understand the models and prepare for the final exam. Therefore try to do them on you own first. Then, feel free to talk with each other and to ask me questions if needed . But do try to write-up your own solutions to prepare for the final exam. please turn them in before January 10.

0) Bagehot/Treynor (1971)*

1) Black (1985)*

2) Kyle (1985)*

3) Glosten and Milgrom (1985)*

4) Glosten (1989)

5) Easley and O'hara (1987)

6) Easley and O'hara (1992)

7) Admati and Pfleiderer (1988)

8) Foster and Viswanathan (1990)

9) Seppi (1990)

10) Easley, Ohara, Kiefer, and Paperman (1996)

11) Duarte and Young (2009)

12) Duarte, Hu, Young (2019)

13) Easley, Ohara, Prado (2012)

14) Easley, Ohara, Prado (2011) - FlashCrash

15) Andersen and Bondarenko (2014)**

16) Lee and Wang (2019)

17) Ernst (2020)

18) Bogouslavsky and Muravyev (2021) on "closing auctions"

19) Easley, Ohara, Da Prato (2021)

20) Lu, Malliaris, Qin (2023)

21) Goldstein and Guembel (2008)

22) Kitchens, Parham, Yung (2024)**

Assignment 2 please turn in by January 24

1) Back (1992)*

2a) Collin-Dufresne, Fos (2015)*

2b) Collin-Dufresne and Fos (2016)*

2c) Slides

3) Wang (1993)

4) Wang (1994)

5) Campbell, Grossman, and Wang (1993)

6) He and Wang (1995)

7) Vayanos (1999)

8) Makarov and Rytchkov (2012)

9) Du and Zhu (2017)

10) Duffie and Zhu (2017)

11) Duffie, Dworczack, Zhu (2017)

12a) Back, Collin-Dufresne, Fos. Li, Ljugqvist (2018) 

12b) Slides

13) Collin-Dufresne, Fos, Muravyev (2020)

13b) Slides

14) Watanabe (2008)

15) Brunnermeier and Pedersen (2008)

16) Pedersen (2021)

17) Chen, Chen, Cohen (2021)

18)  Ai, Bansal, Han (2021)

19) Ernst, Thomas, Hrdlicka (2019)

20) Lucca, Moench (2013)

21) Savor and Wilson (2014)

22) Boguth, Fisher, Martineau (2024)**

23) Dou, Goldstein, and Ji (2023)

24) Colliard, Foucault, Lovo (2023)**

----------------------------------------------------------------------

Please turn in by Feb 7. 

1) Kyle (1989)*

2) Kyle and Lee (2018)*

3) Rostek and Weretka (2012)

4) Glosten (1994)

5) Biais, Martimort, Rochet (2000)

6) Glebkin, Malamud, Teguia (2020)

7) Malamud and Rostek (2020)

8) Brunnermeier and Pedersen (2005)

9) Peress and Schmidt (2022)

10) Edmans, Goldstein, and Jiang (2015)

11) Zhu (2014)**

12) Menkveld, Yushen, Zhu (2017)**

13) Chen and Duffie (2021)**

1) Grossman-Miller (1988)*

1b) Discussion of Grossman-Miller (1988) by Whitcomb

2) Amihud-Mendelson (1986)*

3) Acharya-Pedersen (2005)*

4) Amihud (2002)

5) Pastor-Stambaugh (2003)

6) Lou-Shou (2017)**

7) Amihud and Noh (2020)

8) Li, Novy-Marx, Selikov (2020)

9) Pontiff-Singla (2020)

10) Pastor-Stambaugh (2020)

11) Bogouslavsky and Collin-Dufresne (2021)**  (slides)

1) Miller (1977)*

2) Harrison and Kreps (1978)*

3) Harris-Raviv (1993)

4) Scheinkman and Xiong (2003)

5) Daniel, Hischleifer, Viswanathan (1998)

6) Hong and Stein (1999)*

7) Daniel, Hischleifer, Viswanathan (2001)*

8) Banerjee (2011)**

9) Banerjee and Kremer (2010)

10) Atmaz and Basak (2021)

11) Scheinkman and Nutz (2021)

----------------------------------------------------------------

1) Duffie (2010)*

2) Koijen and Gabaix (2020)

3) Koijen and Yogo (2019)

4) Coval and Stafford (2007)*

5) Wardlaw (2020)**

6) Berger (2020)

7) Schmickler (2020)

8) Pavlova and Sikorskaya (2021)

9) Kashyap et al. (2023)

10) Hartzmark and and Solomon (2022)

11) Pedersen (2023)

12) Cujean and Jager (2024) - will be presented by the authors.

1) Diamond Dybvig (bank runs)

2) Goldstein Pauzner (Global Games)

3) Ivo Welsh (Herding)

*) Buss and Sundaresan (2020)