Showing 1 - 10 of 1,184
Bidders' risk attitudes have key implications for choices of revenue-maximizing auction formats. In ascending auctions … transaction prices and participation decisions in ascending auctions with entry costs. Nonparametric tests are proposed for two … entry costs but contains exogenous variations of potential competition and auction characteristics. In the first scenario …
Persistent link: https://www.econbiz.de/10012459225
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012456152
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...
Persistent link: https://www.econbiz.de/10012459120
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...
Persistent link: https://www.econbiz.de/10012463162
Does heterogeneity matter for asset pricing and in particular for risk premiums? Starting with an irrelevance result, I classify the literature into two groups of papers taking different routes to link investor heterogeneity and risk premiums. The first group contains models of investors who...
Persistent link: https://www.econbiz.de/10012481930
Foreign investors' changing appetite for risk-taking have been shown to be a key determinant of the global financial cycle. Such fluctuations in risk sentiment also correlate with the dynamics of UIP premia, capital flows, and exchange rates. To understand how these risk sentiment changes...
Persistent link: https://www.econbiz.de/10013210054
Recently, economists have developed methods for structural estimation of auction models. Many researchers object to … explore whether structural auction models can generate reasonable estimates of bidders' private information. Using bid data … from auction experiments, we estimate four alternative structural models of bidding in first-price sealed-bid auctions: 1 …
Persistent link: https://www.econbiz.de/10012468808
, versus the option of making the reserve public by using it as the minimum bid level. In a field experiment, we auction 50 … that secret reserve prices make us worse off as sellers, by reducing the probability of the auction resulting in a sale …, deterring serious bidders from entering the auction, and lowering the expected transaction price of the auction. We also present …
Persistent link: https://www.econbiz.de/10012470543
have a fixed end time. A natural experiment is available because the auctions on Amazon, while operating under otherwise … passed without a bid. The strategic differences in the auction rules are reflected in the auction data by significantly more … about ending the auction playing an important role …
Persistent link: https://www.econbiz.de/10012471021
"per install" basis--plays a major role in the mix and characteristics of auction winners, and, consequently, in their … number of such users. The distortion becomes worse as the auction gets more competitive and the number of bidders increases …
Persistent link: https://www.econbiz.de/10012482310