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Multidimensional Private Value Auctions
Morris, Stephen; Fang, Hanming - Econometric Society - 2004
We consider parametric examples of two-bidder private value auctions in which each bidder observes her own private valuation as well as noisy signals about her opponent’s private valuation. In such multidimensional private value auction environments, we show that the revenue equivalence...
Persistent link: https://www.econbiz.de/10005699666
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The Importance of Borrowers’ History on Credit Behavior: The Mexican Experience
Negrin, José L. - Econometric Society - 2004
Credit sharing information mechanisms represent the institutional answer to the asymmetric information problems inherent to credit markets. It is generally accepted that sharing information is beneficial for the participant institutions, however, there are few studies that have measured the...
Persistent link: https://www.econbiz.de/10005699572
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The Markovian Dynamics of "Smart Money"
Yang, J-H Steffi - Econometric Society - 2004
degree of investment movement as opposed to capital immobility can in fact stabilize the market. Furthermore, performance …
Persistent link: https://www.econbiz.de/10005086415
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PORTAFOLIOS ÓPTIMOS PARA LOS NUEVOS SISTEMAS DE PENSIONES DE PAÃSES EMERGENTES
Walker, Eduardo - Econometric Society - 2004
Se estudia asignaciones óptimas de clases de activo (Asset Allocation) para afiliados representativos a las AFP con diferentes plazos para jubilar. Se supone que el afiliado desearía maximizar su pensión esperada al momento de jubilar, dado un nivel de riesgo. Entonces, la pregunta es qué...
Persistent link: https://www.econbiz.de/10005063548
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That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds
Thorp, Susan - Econometric Society - 2004
Surveys of Australian superannuation funds verify that most international bond holdings, but not equity holdings, are hedged for currency risk. We compare the mean-variance efficiency of this practice with two alternative strategies: a conventional forward hedge; and a selective hedge triggered...
Persistent link: https://www.econbiz.de/10005063662
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Delegating Procurement to Experts
Lewis, Tracy; Dai, Chifeng - Econometric Society - 2004
service. This paper analyzes how buyers optimally contract with sellers who vary in their expertise at prescribing service. We … provided they contract sequentially whereby terms are negotiated gradually as the supplier acquires information …
Persistent link: https://www.econbiz.de/10005130176
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Risk Aversion and Income Tax Enforcement
Chander, Parkash - Econometric Society - 2004
This paper characterizes optimal income tax and audit schemes in the presence of costly enforcement when the agent is risk averse and not necessarily risk neutral. It is shown that the results under risk-neutrality (Chander and Wilde (1998)) largely hold under risk aversion. We first show that...
Persistent link: https://www.econbiz.de/10005342345
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Returnable Goods: Refunds and Information Acquisition
Persico, Nicola; Matthews, Steven A. - Econometric Society - 2004
We present two information-based rationales for why sellers of returnable goods tend to offer refunds in excess of the salvage value of the good. Both explanations require at least the potential presence of consumers who can choose to learn their values for the good prior to purchasing.
Persistent link: https://www.econbiz.de/10005342242
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Optimal Contracts for Teams of Money Managers
Pichler, Pegaret - Econometric Society - 2004
The optimal organizational form and optimal incentive contract are characterized for a team of money managers, assuming … organization and a strictly competitive contract, in which each manager is rewarded both for doing well and for doing better than … contract total wages paid are a concave function of total returns, and so using the contract to discourage herding (and thus …
Persistent link: https://www.econbiz.de/10005328978
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HERD BEHAVIOR IN THE JAPANESE LOAN MARKET: EVIDENCE FROM BANK PANEL DATA
Nakagawa, Ryuichi; Uchida, Hirofumi - Econometric Society - 2004
This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 through 2002. Applying the technique developed by Lakonishok, Shleifer, and Vishny (LSV) (1992, J. of Fin. Econ.) to the data of loans outstanding to different types of...
Persistent link: https://www.econbiz.de/10005130235