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Social and Behavioral Sciences Commons™
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- Adverse selection (11)
- Default (10)
- Equilibrium refinement (8)
- Incomplete markets (8)
- Endogenous assets (7)
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- Moral hazard (7)
- Signalling (5)
- Competitive pooling (4)
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- Arm’s length financing (2)
- Asymptotic normality (2)
- Behavioral economics (2)
- Blackwell’s theorem (2)
- Core (2)
- Diversification (2)
- Edgeworth expansion (2)
- Entry (2)
- Efficient markets (2)
Articles 61 - 73 of 73
Full-Text Articles in Social and Behavioral Sciences
Middle Men Versus Market Makers: A Theory Of Competitive Exchange, John Rust, George J. Hall
Middle Men Versus Market Makers: A Theory Of Competitive Exchange, John Rust, George J. Hall
Cowles Foundation Discussion Papers
What determines how trade in a commodity is divided between privately negotiated transactions via “middle men” (dealer/brokers) in a telephone or “dealer market” versus transactions via “market makers” (specialists) at publicly observable bid/ask prices? To address this question, we extend Spulber’s (1996a) search model with buyers, sellers, and price setting dealers to include a fourth type of agent, market makers . The result is a model where market microstructure — the division of trade between dealers and market makers — is determined endogenously. In Spulber’s model, dealers are the exclusive avenue of exchange, and prices are private in the sense …
Measurability Is Not About Information, Juan Dubra, Federico Echenique
Measurability Is Not About Information, Juan Dubra, Federico Echenique
Cowles Foundation Discussion Papers
We comment on the relation between models of information based on signals/partitions, and those based on sigma-algebras. We show that more informative signals need not generate finer sigma-algebras, hence that Blackwell’s theorem fails if information is modeled as sigma-algebras. The reason is that the sigma-algebra generated by a partition does not contain all the events that can be known from the information provided by the signal. We also show that there is a non-conventional sigma-algebra that can be associated to a signal which does preserve its information content. Further, expectations and conditional expectations may depend on the choice of sigma-algebra …
Valuation Ratios And The Long-Run Stock Market Outlook: An Update, John Y. Campbell, Robert J. Shiller
Valuation Ratios And The Long-Run Stock Market Outlook: An Update, John Y. Campbell, Robert J. Shiller
Cowles Foundation Discussion Papers
The use of price–earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that these ratios should be useful in forecasting future dividend growth, future earnings growth, or future productivity growth. We conclude that, overall, the ratios do poorly in forecasting any of these. Rather, the ratios appear to be useful primarily in forecasting future stock price changes, contrary to the simple efficient-markets models. This paper is an update of our …
Monotone Preferences Over Information, Juan Dubra, Federico Echenique
Monotone Preferences Over Information, Juan Dubra, Federico Echenique
Cowles Foundation Discussion Papers
We consider preference relations over information that are monotone: more information is preferred to less. We prove that, if a preference relation on information about an uncountable set of states of nature is monotone, then it is not representable by a utility function.
A Computational Analysis Of The Core Of A Trading Economy With Three Competitive Equilibria And A Finite Number Of Traders, Alok Kumar, Martin Shubik
A Computational Analysis Of The Core Of A Trading Economy With Three Competitive Equilibria And A Finite Number Of Traders, Alok Kumar, Martin Shubik
Cowles Foundation Discussion Papers
In this paper we examine the structure of the core of a trading economy with three competitive equilibria as the number of traders ( N ) is varied. We also examine the sensitivity of the multiplicity of equilibria and of the core to variations in individual initial endowments. Computational results show that the core first splits into two pieces at N = 5 and then splits a second time into three pieces at N = 12. Both of these splits occur not at a point but as a contiguous gap. As N is increased further, the core shrinks by N …
Local Polynomial Whittle Estimation, Donald W.K. Andrews, Yixiao Sun
Local Polynomial Whittle Estimation, Donald W.K. Andrews, Yixiao Sun
Cowles Foundation Discussion Papers
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent those problems. Instead of approximating the short-run component of the spectrum, φ(λ), by a constant in a shrinking neighborhood of frequency zero, we approximate its logarithm by a polynomial. This leads to a “local polynomial Whittle” (LPW) estimator. Following the work of Robinson (1995a), we establish the asymptotic bias, variance, mean-squared error (MSE), …
Electoral Rules And The Emergence Of New Issue Dimensions, Estelle Cantillon
Electoral Rules And The Emergence Of New Issue Dimensions, Estelle Cantillon
Cowles Foundation Discussion Papers
Different electoral rules provide different incentives for parties competing for votes to adopt emerging issues. As a result, new societal issues will be integrated at different speeds into the political arena, and ultimately, into policy. In order to study this question formally, I propose an extension of the standard spatial model of political competition that allows for issue adoption and more generally, issue prioritizing at the platform level. The paper then compares the outcome of party competition under proportional and plurality rule. Entry is allowed and incumbent parties act as Stackelberg leaders vis-à-vis potential entrants. The analysis highlights the interaction …
Multifractal Products Of Cylindrical Pulses, Julien Barral, Benoit Mandelbrot
Multifractal Products Of Cylindrical Pulses, Julien Barral, Benoit Mandelbrot
Cowles Foundation Discussion Papers
A new class of random multiplicative and statistically self-similar measures is defned on IR. It is the limit of measure-valued martingales constructed by multiplying random functions attached to the points of a statistically self-similar Poisson point process in a strip of the plane. Several fundamental problems are solved, including the non-degeneracy and the distribution of the limit measure, mu; the finiteness of the (positive and negative) moments of the total mass of mu restricted to bounded intervals. Compared to the familiar canonical multifractals generated by multiplicative cascades, the new measures and their multifractal analysis exhibit strikingly novel features which are …
Weighted Minimum Mean-Square Distance From Independence Estimation, Donald J. Brown, Marten H. Wegkamp
Weighted Minimum Mean-Square Distance From Independence Estimation, Donald J. Brown, Marten H. Wegkamp
Cowles Foundation Discussion Papers
In this paper we introduce a family of semi-parametric estimators, suggested by Manski’s minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic variance of these estimators.
The Uses Of Teaching Games In Game Theory Classes And Some Experimental Games, Martin Shubik
The Uses Of Teaching Games In Game Theory Classes And Some Experimental Games, Martin Shubik
Cowles Foundation Discussion Papers
The results are presented from several experiments. They include the selection of points in the core, interpersonal comparisons of utility, and the reconsideration of Stone results on prominence in contrast with symmetry.
The Financing Of Innovation: Learning And Stopping, Dirk Bergemann, Ulrich Hege
The Financing Of Innovation: Learning And Stopping, Dirk Bergemann, Ulrich Hege
Cowles Foundation Discussion Papers
This paper considers the financing of a research project under uncertainty about the time of completion and the probability of eventual success. The uncertainty about future success gradually diminishes with the arrival of addtional funding. The entrepreneur controls the funds and can divert them. We distinguish between relationship financing, meaning that the entrepreneur’s allocation of the funds is observable, and arm’s length financing, where it is unobservable. We find that equilibrium funding stops altogether too early relative to the efficient stopping time in both financing modes. We characterize the optimal contracts and equilibrium funding decisions. The financial constraints will typically …
The Financing Of Innovation: Learning And Stopping, Dirk Bergemann, Ulrich Hege
The Financing Of Innovation: Learning And Stopping, Dirk Bergemann, Ulrich Hege
Cowles Foundation Discussion Papers
This paper considers the financing of a research project under uncertainty about the time of completion and the probability of eventual success. We distinguish between two financing modes, namely relationship financing, where the allocation decision of the entrepreneur is observable, and arm’s length financing, where it is unobservable. We find that equilibrium funding stops altogether too early relative to the efficient stopping time in both financing modes. The rate at which funding is released becomes tighter over time under relationship financing, and looser under arm’s length financing. The trade-off in the choice of financing modes is between lack of commitment …
Expected Utility Theory Without The Completeness Axiom, Juan Dubra, Fabio Maccheroni, Efe A. Ok
Expected Utility Theory Without The Completeness Axiom, Juan Dubra, Fabio Maccheroni, Efe A. Ok
Cowles Foundation Discussion Papers
We study axiomatically the problem of obtaining an expected utility representation for a potentially incomplete preference relation over lotteries by means of a set of von Neumann-Morgenstern utility functions. It is shown that, when the prize space is a compact metric space, a preference relation admits such a multi-utility representation provided that it satisfies the standard axioms of expected utility theory. Moreover, the representing set of utilities is unique in a well-defined sense.