Showing 1 - 10 of 118
This paper studies the economics behind the investment in information technologies (IT) by U.S. commercial banks in the past decade. By linking banks' IT spending to their lending technologies, we analyze the distinctive natures of banks' dealings with information across various lending...
Persistent link: https://www.econbiz.de/10013362057
We examine the mechanics of deterrence and intervention when fear is a motive for conflict. We contrast results obtained in a complete information setting, where coordination is easy, to those obtained in a setting with strategic risk, where players have different assessments of their...
Persistent link: https://www.econbiz.de/10012464685
previous Boston mechanism, a priority matching mechanism, and the case in favor of the change to a strategy-proof mechanism … unassigned students could have been assigned to one of their stated choices with a different strategy under the current mechanism …. This interaction between sophisticated and unsophisticated players identifies a new rationale for strategy-proof mechanisms …
Persistent link: https://www.econbiz.de/10012466706
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012457922
strategy are common across the two models: In particular, highly inertial interest rate rules that respond to nominal income or …
Persistent link: https://www.econbiz.de/10012458054
the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …
Persistent link: https://www.econbiz.de/10012458074
We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...
Persistent link: https://www.econbiz.de/10012458151
option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …
Persistent link: https://www.econbiz.de/10012458228
This paper extends the methodology developed in Chien, Cole and Lustig (2011 & 2012) (hereafter CCL2011 and CCL2012, respectively) to analyze and compute the equilibria of economies with heterogeneous agents who have different asset trading technologies and are subject to both aggregate and...
Persistent link: https://www.econbiz.de/10012458339
This paper introduces the impact of debt misvaluation on merger and acquisition activity. Debt misvaluation helps explain the shifting dominance of financial acquirers (private equity firms) relative to strategic acquirers (operating companies). The effects of overvalued debt might seem limited...
Persistent link: https://www.econbiz.de/10012459283