Showing 1 - 10 of 12
The paper examines the trend in public sector – private sector wagedifferentials in the 1980s and 1990s, using a variety of econometricmethods...br>
Persistent link: https://www.econbiz.de/10005869334
We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...
Persistent link: https://www.econbiz.de/10005868691
We analyze numerically the superreplication problem and the associatedhedging strategy in an illiquid binomial market. We prove theexistence of an optimal feedback strategy for European and barrier optionsand compute it numerically by means of a dynamic programmingprinciple. We exhibit that the...
Persistent link: https://www.econbiz.de/10009486850
The rent-seeking model of Tullock (1980) has stimulated a large literature on rent-seekingcontests, of which Hillman (1989) and Nitzan (1994) provide useful surveys. AlthoughTullock's 'winner take all' model has been adapted and extended in numerous ways, thereremain fundamental modeling issues,...
Persistent link: https://www.econbiz.de/10005869062
Recent crises have seen very large spikes in asset price risk without dramatic shiftsin fundamentals. We propose an explanation for these risk panics based on selffullling shifts in risk made possible by a negative link between the current assetprice and risk about the future asset price. This...
Persistent link: https://www.econbiz.de/10009305102
We present results from the rst large-scale international surveyon risk preferences, conducted in 45 countries. We show substantialcross-country dierences in risk aversion, loss aversion and probabilityweighting. Moreover, risk attitudes in our sample depend not only oneconomic conditions, but...
Persistent link: https://www.econbiz.de/10009418983
Consider an investor trading dynamically to maximize expectedutility from terminal wealth. Our aim is to study the dependencebetween her risk aversion and the distribution of the optimal terminalpayo. Economic intuition suggests that high risk aversion leads to arather concentrated distribution,...
Persistent link: https://www.econbiz.de/10009486856
This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...
Persistent link: https://www.econbiz.de/10005868708
We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...
Persistent link: https://www.econbiz.de/10005868899
With hedge funds, issues such as finding common factors that definealternative strategies or the tracking of hedge funds have beendiscussed more or less recently in the financial literature. We proposehere the use of recent developments in estimation of factor modelsto unveil the five latent...
Persistent link: https://www.econbiz.de/10005868980