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Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This article develops a multi-period production model to examine the optimal dynamic behaviour of a large monopolistic value-maximizing firm that manipulates its valuation as well as the price of its output. In the pre-commitment equilibrium the firm’s output and labour demand are decreased,...

Persistent link: https://www.econbiz.de/10005666999

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

Persistent link: https://www.econbiz.de/10005662411

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and...

Persistent link: https://www.econbiz.de/10005662071

A Dynamic Model with Import Quota Constraints

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the...

Persistent link: https://www.econbiz.de/10005662103

Asset Prices and Institutional Investors

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2012

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

Persistent link: https://www.econbiz.de/10011083249

Asset Prices with Heterogeneity in Preferences and Beliefs

Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2013

In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have “catching up with the Joneses” utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time...

Persistent link: https://www.econbiz.de/10011083492

Labor Differentiation and Agglomeration in General Equilibrium

Berliant, Marcus; Zenou, Yves - C.E.P.R. Discussion Papers - 2012

The aim of this paper is to explore the structure of cities as a function of labor differentiation, gains to trade, a fixed cost for constructing the transportation network, a variable cost of commodity transport, and the commuting costs of consumers. Firms use different types of labor to...

Persistent link: https://www.econbiz.de/10011083732

Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns

Favero, Carlo A. - C.E.P.R. Discussion Papers - 2005

Consumption is striking back. Some recent evidence indicates that the well-known asset pricing puzzles generated by the difficulties of matching fluctuations in asset prices with high frequency fluctuations in consumption might be solved by considering consumption in the long-run. A first strand...

Persistent link: https://www.econbiz.de/10005792286

Portfolio Choice with Illiquid Assets

Koren, Miklós; Szeidl, Adam - C.E.P.R. Discussion Papers - 2003

The present Paper investigates the effects of incorporating illiquidity in a standard dynamic portfolio choice problem. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of financial wealth invested in illiquid assets given the...

Persistent link: https://www.econbiz.de/10005498092

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Dumas, Bernard J; Lyasoff, Andrew - C.E.P.R. Discussion Papers - 2009

We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...

Persistent link: https://www.econbiz.de/10005124234

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