Evidence suggests that predictabilities in asset class returns exist but transactions costs prevent exploiting them using individual securities. Extant research also shows that these relationships may by exploitable through the trading of mutual funds but fails to examine whether this relationship exists within an individual fund family. This paper finds that TIAA/CREF retirement annuities exhi...

This paper provides a micro foundation for the behavior assumptions as well as outcomes in noisy rational expectations equilibrium models. If there are gains from trade, and all agents are rational and can acquire costly information, then equilibria in double auction markets may have the following properties. (i) Ex ante identically informed agents evolve endogenously to noise traders, speculat...

This paper analyzes information acquisition in double auction markets and shows that for any finite information cost, if the number of traders and the units a trader is allowed to trade are sufficiently large, then an efficient equilibrium allocation fails to exist. For a large set of parameter values any equilibrium with positive volume of trade has the following properties. Ex ante identicall...

Two ex ante identically informed agents play an alternating offer bargaining game with endogenous information acquisition and common values. This paper shows that perfect Bayesian equilibria may have the following properties. (i) No agreement exists in ultimatum bargaining although both agents maintain symmetric information in equilibrium and the gain from trade is common knowledge. (ii) The ag...