Selected Publications

In Review of Financial studies (Accepted), 2021

Recent Publications

We present an endogenous-timing conflict game of incomplete information under strategic complementarity. The model predicts multiple …

We test the effects of endogenous weights in a positive feedack LtF

We use an experimental approach to study the effect of market structure on theincidence of misreporting by credit rating agencies. We …



In out game

We design an experiment in which subjects decide between a risky option that evolves according to an autoregressive process, or a risk-free investment. The treatments vary the information displayed of the risky investment after players opted for the risk-free alternative. In the public information treatment, which captures the information structure of index funds, subjects stay longer out of the risky market, compared to the private information environment, present in private equity. This different behavior across treatments can be explained by the demand for information, which overcomes risk aversion.

Market reaction to splits

We report on an experiment studying how traders react to stock splits and reverse splits. In the first environment, two assets have increasing fundamental values, and one asset is subject to a 2-for-1 share split while the other is not. In the second environment, the fundamental values of both assets are decreasing, and one asset is subject to a 1-for-2 reverse split while the other is not. We find that share prices do not fully adjust to changes in fundamental values per share in the aftermath of both splits and we relate this phenomenon to difficulties with proportional thinking.

The impact of ETFs

We examine how exchange traded funds (ETFs) affect asset pricing, volatility and trade volume in a laboratory asset market. We consider markets with zero or negative correlations in asset returns and the presence or absence of composite ETF assets. We find that when the returns on assets are negatively correlated, the presence of an ETF asset reduces mispricing and price volatility without decreasing trading volume. In the case where returns have zero correlation, the ETF asset has no impact. Thus, our findings suggest that ETFs do not harm, and may in fact improve, price discovery and liquidity in asset markets..