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Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

The Dog that Did Not Bark: Insider Trading and Crashes

Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007

phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …

Persistent link: https://www.econbiz.de/10005666589

Front-running by Mutual Fund Managers: It ain't that Bad

Danthine, Jean-Pierre; Moresi, Serge X - C.E.P.R. Discussion Papers - 1996

This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized. Noise...

Persistent link: https://www.econbiz.de/10005123513

Investment Banks as Insiders and the Market for Corporate Control

Bodnaruk, Andriy; Massa, Massimo; Simonov, Andrei - C.E.P.R. Discussion Papers - 2008

We study holdings in M&A targets by financial conglomerates which affiliated investment banks advise the bidders. We show that advisors take positions in the targets before M&A announcements. These stakes are positively related to the probability of observing the bid and to the target premium....

Persistent link: https://www.econbiz.de/10005123703

Information Sales and Insider Trading

Cespa, Giovanni - C.E.P.R. Discussion Papers - 2004

Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Similarly to a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against...

Persistent link: https://www.econbiz.de/10005067575

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and...

Persistent link: https://www.econbiz.de/10005662071

Welfare Costs of US Quotas in Textiles, Steel and Autos

de Melo, Jaime; Tarr, David - C.E.P.R. Discussion Papers - 1990

This paper quantifies welfare costs and resource shifts that would occur if US quantitative restrictions in textiles, steel and autos were removed. Estimates are derived from a static ten-sector general the equilibrium model of the US economy. The welfare loss from the quantitative restrictions...

Persistent link: https://www.econbiz.de/10005662394

General Equilibrium and the Emergence of (Non) Market Clearing Trading Institutions

Alos-Ferrer, Carlos; Kirchsteiger, Georg - C.E.P.R. Discussion Papers - 2006

We consider a pure exchange economy, where for each good several trading institutions are available, only one of which is market-clearing. The other feasible trading institutions lead to rationing. To learn on which trading institutions to coordinate, traders follow behavioural rules of thumb...

Persistent link: https://www.econbiz.de/10005666746

Monetary Policy Misspecification in VAR Models

Canova, Fabio; Pina, Joaquim Pivis - C.E.P.R. Discussion Papers - 1999

We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients...

Persistent link: https://www.econbiz.de/10005666752

Public Sector Shadow Prices in Distorted General Equilibrium Models

Smith, Alasdair - C.E.P.R. Discussion Papers - 1985

In a closed competitive general equilibrium constant returns economy, consumer taxes separate consumer and producer prices of goods. Shadow prices appropriate for the evaluation of public sector projects are derived on alternative assumptions about what happens to taxes as public production...

Persistent link: https://www.econbiz.de/10005666849

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