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The Existence of Informationally Efficient Markets When Individuals Are Rational

Muendler, Marc-Andreas - CESifo - 2004

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...

Persistent link: https://www.econbiz.de/10005406399

Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity

Manzano, Carolina; Vives, Xavier - CESifo - 2010

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

Persistent link: https://www.econbiz.de/10008511613

Strategic Supply Function Competition with Private Information

Vives, Xavier - CESifo - 2009

A finite number of sellers (n) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the system. A Bayesian supply function equilibrium is characterized; the equilibrium is privately...

Persistent link: https://www.econbiz.de/10008534061

Asset Auctions, Information, and Liquidity

Vives, Xavier - CESifo - 2010

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

Persistent link: https://www.econbiz.de/10008596578

A Large-Market Rational Expectations Equilibrium Model

Vives, Xavier - CESifo - 2011

This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations...

Persistent link: https://www.econbiz.de/10009144882

Pro Bono Work and Trust in Expert Fields

Ong, David; Yang, Chun-Lei - CESifo - 2014

aspect of the services of experts (e.g., of doctors, lawyers, and accountants), and the role that voluntary pro bono work … might play. Expert services have un- verifiable quality to non-experts and are subject to moral hazard. Experts who cheat … their customers should crowd out experts who do not, resulting in low trust, prestige, and wages. We ask how pro bono work …

Persistent link: https://www.econbiz.de/10010877904

Securitization and Asset Prices

Aksoy, Yunus; Basso, Henrique S. - CESifo - 2015

During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...

Persistent link: https://www.econbiz.de/10011167135

Forecasting Tail Risks

Nicolò, Gianni De; Lucchetta, Marcella - CESifo - 2015

Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...

Persistent link: https://www.econbiz.de/10011212072

Complex Financial Networks and Systemic Risk: A Review

Bougheas, Spiros; Kirman, Alan P. - CESifo - 2014

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...

Persistent link: https://www.econbiz.de/10010764284

Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Efing, Matthias; Hau, Harald; Kampkötter, Patrick; … - CESifo - 2014

We use payroll data on 1.2 million bank employee years in the Austrian, German, and Swiss banking sector to identify incentive pay in the critical banking segments of treasury/capital market management and investment banking for 66 banks. We document an economically significant correlation of...

Persistent link: https://www.econbiz.de/10010948831