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Is Information Uncertainty Diversifiable? A Short Bayesian Answer

Johnstone, David - 2015

The properties of information, including "information uncertainty", can be understood only Bayesianly. Common formulations that define information uncertainty in terms of just statistical "precision" (i.e. sampling variance), or any one estimator characteristic (e.g. bias), are inadequate for...

Persistent link: https://www.econbiz.de/10013019904

Short Selling with Model Uncertainties and Heterogeneous Beliefs

Liao, Yun - 2014

We propose a model of asset prices, volume and volatility based on differences of opinions and model uncertainty level among investors. We conclude that asset price will be falling after the short-sales constraints are repealed given other things equal, two important factors-limited...

Persistent link: https://www.econbiz.de/10013061860

Economic Policy Uncertainty and Learning : Theory and Evidence on Mutual Funds

Jiang, Erica Xuewei; Starks, Laura T.; Sun, Sophia - 2021

Using the mutual fund industry as a laboratory, we demonstrate theoretically and empirically that economic policy uncertainty an affect investment decisions through an information rather than real options channel. Specifically, we find that fund flow-performance sensitivity decreases in...

Persistent link: https://www.econbiz.de/10013245400

Bubbles and Persuasion with Second Order Uncertainty

Negrelli, Sara - 2018

Recent empirical studies suggest that, during times of unexpected innovation, agents heterogeneously update their beliefs about an asset fundamental value, and they are uncertain about other agents' beliefs on it. In this paper I show that, when there is uncertainty about the market sentiment,...

Persistent link: https://www.econbiz.de/10012919293

Risk Sharing, Investment Efficiency, and Welfare with Feedback Effects

Banerjee, Snehal; Breon-Drish, Bradyn M.; Smith, Kevin - 2021

Financial markets enable risk sharing and efficient allocation of capital. We characterize how these roles interact in a “feedback effects” model with diversely informed, risk-averse investors and a manager who learns from prices when making an investment decision. While learning from prices...

Persistent link: https://www.econbiz.de/10013231749

Threat of Hedge Fund Activism and Risky Investment

Lakkis, Emil - 2021

I study the effect of a threat of hedge fund activism on corporate investment. I find that managers are less likely to undertake acquisitions when subject to a higher threat of activism. They decrease the number of risky, value-creating acquisitions undertaken by the firm. I present evidence...

Persistent link: https://www.econbiz.de/10013221668

The informational role of corporate hedging

Manconi, Alberto; Massa, Massimo; Zhang, Lei - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3843-3867

Persistent link: https://www.econbiz.de/10011900052

Investment under Regime Uncertainty : Impact of Competition and Preemption

Nishide, Katsumasa - 2016

changes. We qualitatively show how two firms strategically optimize their investment timing, taking into account competition …

Persistent link: https://www.econbiz.de/10013008270

A Model of Industry Tournament Incentives

Coles, Jeffrey L. - 2020

This paper builds on Rosen (1981) and Hvide (2002) to provide a simple framework that elucidates the nature of incentives in the tournaments among top executives in both the external managerial labor market for the top executive positions in other companies and within the executives' own firm...

Persistent link: https://www.econbiz.de/10012842651

Paying for Risk : Bankers, Compensation, and Competition

Whitehead, Charles K. - 2015

overlook is the effect on non-executive pay of the competition for talent. Even if executive pay is regulated, and executives …-executives due to the negative externality that arises from that competition. Greater risk-taking can increase short-term profits and … tension between compensation and competition. Regulators should take account of the effect of competition on market …

Persistent link: https://www.econbiz.de/10013035251