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Exclusive portfolio dealing and market inefficiency
Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024
We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...
Persistent link: https://www.econbiz.de/10014496480
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(Non-)insurance markets, loss size manipulation and competition : experimental evidence
Hinloopen, Jeroen; Soetevent, Adriaan R. - 2016
defined insurance and non-insurance markets based on the initial loss size, we develop theory to show that insurers with buyer … power have incentives to create insurance markets. Insurer competition will push their profits to zero but markets do not … our theory and find support. Monopolistic insurer-subjects in non-insurance markets increase loss sizes to establish …
Persistent link: https://www.econbiz.de/10011456744
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments
Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015
This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...
Persistent link: https://www.econbiz.de/10011333057
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2001
technical trading rules maysurvive evolutionary competition in a heterogeneousworld where prices and beliefs co-evolve over time …
Persistent link: https://www.econbiz.de/10011313923
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554477
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Simultaneous search and network efficiency
Gautier, Pieter; Holzner, Christian - 2011
Persistent link: https://www.econbiz.de/10009720781
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Dynamic insurance and adverse selection
Janssen, Maarten C. W.; Karamychev, Vladimir A. - 2001
We take a dynamic perspective on insurance markets under adverseselection and study a generalized Rothschildand Stiglitz model where agents may differ with respect to theaccidental probability and their expenditure levels incase an accident occurs. We investigate the nature of dynamicinsurance...
Persistent link: https://www.econbiz.de/10011318577
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009
the presidential cycle election (PCE) theory as an alternative explanation. The PCE theory states that incumbent parties … formulate seven different propositions relating to fiscal, monetary, tax, and political implications of PCE theory. We find no … statistically significant evidence confirming the PCE theory as a plausible explanation for the presidential cycle effect. The …
Persistent link: https://www.econbiz.de/10011377245
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Why did warrant markets close in China but not Taiwan?
Wong, Wing Keung; Hooi Hooi Lean; McAleer, Michael; … - 2018
The paper bridges a gap in the literature by using moment analysis, CAPM statistics, stochastic dominance (SD) test, and volume analysis to examine investor preferences for warrants between China and Taiwan, and investigating why the market for warrants in China has to close while the market for...
Persistent link: https://www.econbiz.de/10011869273