How costly is the poor governance of market intermediaries? Using unique trade level data from the stock market in Pakistan, we find that when brokers trade on their own behalf, they earn annual rates of return that are 50-90 percentage points higher than those earned by outside investors. Neither market timing nor liquidity provision by brokers can explain this profitability differential. Inst...

We relax the classical price-taking assumption and study the impact of orders of arbitrary size on price when the availability of liquidity is a concern in hedging. Our paper extends the earlier literature, in that illiquidity is modeled both in terms of depth and resilience. Some of our results hold for more general stochastic processes for the underlying, for example, a generic Lévy process a...

This paper extends the Glosten and Milgrom (1985) model of asset pricing with asymmetric information into a dynamic setting and presents a model of market price manipulation. The paper shows that there is a unique equilibrium and characterizes the equilibrium. It is shown that the nextperiod value function of the informed trader, who knows the terminal value of the asset, is strictly monotone i...

This paper investigates infrastructure investment in markets where regulation is subject to varying degrees of manipulation by elected politicians. Based on a model of price regulation in a market with increasing demand and long-term returns on investment we construct a multi-period game between a service provider, consumers with voting rights and elected decision makers. In each period the con...

This paper estimates the behavioral response to residential real estate transfer taxes by studying notched tax rate changes in Washington D.C., exploiting both a price and time notch as identifying variation. We provide evidence that there is manipulation of the sales price to the lower-tax-rate region around the price notch, and use this manipulation to show that there was significant awarenes...

Detecting stock price manipulation is a cat-and-mouse game. Manipulators have constantly devised new techniques to avoid detection. The majority of the related work employed supervised learning techniques, which necessitated known patterns as examples for their models recognize. To catch unknown and never-before-seen manipulation, we used unsupervised train deep neural networks detecting in ord...

We study the optimal behaviour of a cartel faced with fringe competition and imperfectly attentive consumers. Intertemporal price dispersion obfuscates consumer comparison which aids through two channels: it reduces effectiveness free riding by fringe; relaxes cartel’s internal incentive constraints. Our theory explains survival price-setting in homogeneous product market, provides collusive ra...