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Panel Data Models with Unobserved Multiple Time - Varying Effects to Estimate Risk Premium of Corporate Bonds

Bada, Oualid; Kneip, Alois - University of Bonn, Germany - 2010

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate...

Persistent link: https://www.econbiz.de/10008671393

Signaling in First-Price Auctions

Rieck, Thomas - University of Bonn, Germany - 2010

It is commonly assumed in private value auctions that bidders have no information about the realization of the other …

Persistent link: https://www.econbiz.de/10008676565

Analyse de l'impact des coûts de participation sur la stratégie des enchérisseurs dans les Prises de contrôle

Burkart, Mike - Volkswirtschaftliche Fakultät, … - 2009

We consider a takeover in which risk neutral bidders must incur participation costs and study their optimal strategy. We found that bidders decision of participation is endogenous. There is a threshold of private participation cost above that a potential bidder will stay out of takeover process....

Persistent link: https://www.econbiz.de/10009004201

Money as Minimal Complexity

Dubey, Pradeep; Sahi, Siddhartha; Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2015

We consider mechanisms that provide traders the opportunity to exchange commodity i for commodity j, for certain ordered pairs ij. Given any connected graph G of opportunities, we show that there is a unique mechanism M_G that satisfies some natural conditions of "fairness" and "convenience."...

Persistent link: https://www.econbiz.de/10011170531

On the Existence of Price Equilibrium in Economies with Excess Demand Functions

Tian, Guoqiang - Volkswirtschaftliche Fakultät, … - 2010

This paper provides a price equilibrium existence theorem in economies where commodities may be indivisible and aggregate excess demand functions may be discontinuous. We introduce a very weak notion of continuity, called recursive transfer lower semi-continuity, which is weaker than transfer...

Persistent link: https://www.econbiz.de/10011109908

Second-price Auction with Two-Dimensional Private Information on Values and Participation Costs

Cao, Xiaoyong; Tian, Guoqiang - Volkswirtschaftliche Fakultät, … - 2007

This paper studies equilibria of second price auctions when values and participation costs are both privation …

Persistent link: https://www.econbiz.de/10011112898

Equilibria in Second Price Auctions with Information Acquisition

Li, Shengyu; Tian, Guoqiang - Volkswirtschaftliche Fakultät, … - 2008

This paper studies equilibria in second price auctions with information acquisition in an independent private value …

Persistent link: https://www.econbiz.de/10011113746

Procurement Auctions with Renegotiation and Wealth Constraints

Chang, Wei-Shiun; Salmon, Timothy C.; Saral, Krista Jabs - Volkswirtschaftliche Fakultät, … - 2013

Renegotiation is a common practice in procurement auctions which allows for post-auction price adjustments and is …

Persistent link: https://www.econbiz.de/10011113750

Loss Aversion in Sequential Auctions: Endogenous Interdependence, Informational Externalities and the "Afternoon Effect"

Rosato, Antonio - Volkswirtschaftliche Fakultät, … - 2014

Empirical evidence from sequential auctions shows that prices of identical goods tend to decline between rounds. In …. I analyze two-round sealed-bid auctions with symmetric bidders having independent private values and unit demand … next-round price so that equilibrium prices decline. Moreover, sequential and simultaneous auctions are not bidder …

Persistent link: https://www.econbiz.de/10011114448

Price Competition for an Informed Buyer

Moscarini, Giuseppe; Ottaviani, Marco - Cowles Foundation for Research in Economics, Yale University - 1998

We investigate the outcomes of simultaneous price competition in the presence of private information on the demand side. Each of two sellers offers a different variety of a good to a buyer endowed with a private binary signal on their relative quality. We analyze how the unique equilibrium of...

Persistent link: https://www.econbiz.de/10005634741