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Consumption And Asset Returns In Artificial Economies, Richard Tiffany Macklem
Consumption And Asset Returns In Artificial Economies, Richard Tiffany Macklem
Digitized Theses
This study examines the ability of dynamic, stochastic equilibrium models of consumer behavior to simultaneously mimic the salient features of U.S. consumption and asset return data.;Part one of the investigation focuses on the interaction between consumption choices for durable and non-durable goods, the real interest rate, and the rate of return on equity. A dynamic, stochastic, two-good general equilibrium model of consumer behaviour is constructed, and equity and a risk-free asset are priced in this economy. A discrete state space version of the model is then calibrated to U.S. data and solved numerically. Examination of the model's statistical properties are …
Block Trades On The Major Canadian And Us Stock Exchanges: A Study Of Pricing Behavior And Market Efficiency, Michael John Robinson
Block Trades On The Major Canadian And Us Stock Exchanges: A Study Of Pricing Behavior And Market Efficiency, Michael John Robinson
Digitized Theses
Previous studies have found that block trades affect security prices in a different manner than non-block trades. Other studies have shown that certain types of investors may be able to earn excess returns by investing in securities following block trades.;This thesis used detailed trade to trade data to study the efficiency of the Toronto Stock Exchange (TSE), the New York Stock Exchange (NYSE), and the American Stock Exchange (AMEX), with respect to block trades. Comparing the TSE with the U.S. exchanges, this thesis found no difference in the operational efficiency of these exchanges with respect to block trades. As well, …
Three Essays On The Acquisition Of Information, Jacques Robert
Three Essays On The Acquisition Of Information, Jacques Robert
Digitized Theses
This thesis consists of three essays related to the problem of acquisition of information by economic agents.;The first essay, entitled "Bundled Insurance", considers the problem of screening good-and bad-risk individuals in an insurance market. Insurance markets under adverse selection are known to generate incomplete risk sharing. This essay shows that it is optimal, in the context of reactive equilibria, for a monopolist in some unrelated market to bundle its product with a compulsory insurance policy. This essay may help us to understand why employers often provide compulsory group insurance.;The purpose of the second essay, entitled "Search and Price Advertising", is …
Dynamic Stochastic Analysis Of A Small Open Economy, Estrada Enrique Mendoza
Dynamic Stochastic Analysis Of A Small Open Economy, Estrada Enrique Mendoza
Digitized Theses
This thesis consists of four essays that study the dynamic stochastic behavior of a small open economy. In the framework studied here, rational individuals formulate optimal intertemporal plans in an environment where domestic capital and foreign financial assets are used as alternative vehicles of savings, and where random disturbances affect the production technology or the international terms of trade. As demonstrated in the papers, the separation of savings and investment decisions that characterizes the individual's optimal plans in open economies has important implications for the evolution of macroeconomic aggregates.;The main contribution of this work is that it undertakes a quantitative …