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Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that thehistorical payoff distribution provides a consistent estimate of the market's priorbeliefs. The procedures effectively filter return data...
Persistent link: https://www.econbiz.de/10005312745
Speculators buy an asset hoping to sell it later to investors with higher private valuations. If agents are uncertain about the distribution of private valuations and about the beliefs of others about this distribution, a beauty contest with an infinite hierarchy of beliefs arises. Under...
Persistent link: https://www.econbiz.de/10005312778
We analyse the optimal Initial Public Offering (IPO) mechanism in a multidimensional adverse selection setting where institutional investors have private information about the market valuation of the shares, the intermediary has private information about the demand, and the institutional...
Persistent link: https://www.econbiz.de/10010638053
Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that the historical payoff distribution provides a consistent estimate of the market's prior beliefs. The procedures effectively filter return data...
Persistent link: https://www.econbiz.de/10010638148
We analyse the optimal Initial Public Offering (IPO) mechanism in a multidimensional adverse selection setting where institutional investors have private information about the market valuation of the shares, the intermediary has private information about the demand, and the institutional...
Persistent link: https://www.econbiz.de/10005168001