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Cespa, Giovanni - 2019

We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering...

Persistent link: https://www.econbiz.de/10012902334

Reputational Herding in Financial Markets : A Laboratory Experiment

Roider, Andreas - 2015

We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008), career concerns are introduced in a sequential asset market, where wages for investors are set by subjects in the role of employers. Employers can observe investment...

Persistent link: https://www.econbiz.de/10013029493

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141185

Taxation of Insurance

Christiansen, Vidar - 2018

Should we exempt the services of insurance companies from VAT? Addressing this issue, the paper distinguishes between insurance against a general loss of resources and a loss of a specific commodity (property insurance). There is a case for exempting the former kind of insurance, but not the...

Persistent link: https://www.econbiz.de/10012926573

Information Design in Insurance Markets : Selling Peaches in a Market for Lemons

Garcia, Daniel - 2018

This paper characterizes the optimal information structure in competitive insurance markets with adverse selection. A regulator assigns ratings to individuals according to their risk characteristics, insurers offer fixed insurance contracts to each rating group, and the market clears as in...

Persistent link: https://www.econbiz.de/10012924981

A Simple Model of Health Insurance Competition

Kemnitz, Alexander - 2010

This paper investigates competition between health insurance companies under different financing regulations. We … consider two alternatives advanced in recent German health care reform discussions: competition by contribution rates (health … contributions) and by fees (health premia). We find that contribution rate competition yields lower company profits and higher …

Persistent link: https://www.econbiz.de/10013136650

Dynamic Trading and Asset Prices : Keynes vs. Hayek

Cespa, Giovanni - 2011

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10013134234

Simultaneous Search and Network Efficiency

Gautier, Pieter A. - 2011

all their candidates) only wage mechanisms that allow for ex post Bertrand competition generate the maximum matching on a …

Persistent link: https://www.econbiz.de/10013122129

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10013126003

Intraday Anomalies and Market Efficiency : A Trading Robot Analysis

Caporale, Guglielmo Maria - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10013054316

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