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Good Regulatory Lags for Price Cap and Rolling Cap contracts

R, Jose Luis Lima; Lobo, Andres Gomez - Econometric Society - 2004

Price caps are a popular form of monopoly price regulation. One of its disadvantages is the perverse incentives that regulated firms might have to scamp on cost reducing effort during the last years before a price review. In order to avoid this problem a â€œrolling capâ€ contract was...

Persistent link: https://www.econbiz.de/10005063545

Uncertainty in Second Moments: Implications for Portfolio Allocation

Cho, David Daewhan - Econometric Society - 2004

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

Persistent link: https://www.econbiz.de/10005342343

Optimum Consumption and Portfolio Allocations under Incomplete Information

Roche, Herve - Econometric Society - 2004

We solve in closed form the optimal consumption / portfolio choice problem for the class of isoelastic utility functions under incomplete information about the mean return of the stock price. Our approach consists in converting the original investor's problem into an equivalent program where the...

Persistent link: https://www.econbiz.de/10005129785

Uncertainty in Second Moments: Implications for Portfolio Allocation

Cho, David Daewhan - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005130241

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Shapiro, Alex; Basak, Suleyman; Pavlova, Anna - Econometric Society - 2004

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

Persistent link: https://www.econbiz.de/10005699668

Optimal auctions with ambiguity

Pape, Andreas; Bose, Subir; Ozdenoren, Emre - Econometric Society - 2004

ambiguity about the distribution from which these valuations are drawn and where the seller or the bidder may display ambiguity … aversion. We model ambiguity aversion using the maxmin expected utility model where an agent evaluates an action on the basis … the case where the bidders are ambiguity averse (and the seller is ambiguity neutral). Our first result shows that the …

Persistent link: https://www.econbiz.de/10005063702

Ignorance, Fixed Costs, and the Stock Market Participation Puzzle

Naudon, Alberto; Tapia, Matías - Econometric Society - 2004

While the existence of fixed costs in entering asset markets is the leading rationalization of the "participation puzzle" -the fact that most households do not hold stocks, despite the diversification gains and the significant risk-premium involved-, most motivations of these fixed costs are as...

Persistent link: https://www.econbiz.de/10005699623

On the Reasons Behind Fear of Floating: Pass-through Effects vs. Contractionary Depreciations

Castro, Juan F. - Econometric Society - 2004

Based on a simple open economy framework, this analysis rationalizes the existence of â€œfear of floatingâ€-type responses and uncovers some important implications about to role of pass-through effects and contractionary depreciations. By examining how the optimal monetary response varies...

Persistent link: https://www.econbiz.de/10005328866

A Dynamic Stochastic Ananlysis of International Patent Application and Renewal Processes

Deng, Yi - Econometric Society - 2004

This paper develops a dynamic stochastic model to examine the joint patent application and renewal behavior under an international patent protection regime. This framework makes it possible to utilize both the cross-sectional (multi-country filing) and the time-series (patent renewal) dimensions...

Persistent link: https://www.econbiz.de/10005342234

Efficient Pareto-improving Processes

Yun, Kwan Koo - Econometric Society - 2004

We give two procedures for determining whether efficient Pareto improving local changes are possible. When they are, the procedures compute for them. Any procedure generating efficient and Pareto improving changes can be replicated by these procedures. The two programs form a striking duality....

Persistent link: https://www.econbiz.de/10005342307