Showing 1 - 10 of 1,972
default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism …This paper investigates a model of default in financial networks where the decision by one agent on whether or not to … default game. Furthermore, we develop an algorithm to find all Nash equilibria that relies on the financial network structure …
Persistent link: https://www.econbiz.de/10012655559
In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...
Persistent link: https://www.econbiz.de/10012978604
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10003994517
We consider a cheap talk game with a sender who has a reputational concern for an ability to predict a state of the world correctly, and where receivers may misunderstand the message sent. When communication between the sender and each receiver is private, we identify an equilibrium in which the...
Persistent link: https://www.econbiz.de/10013153548
We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. However,...
Persistent link: https://www.econbiz.de/10012897901
The current SEC regulation section 13(f) allows financial institutions to delay the disclosure of their quarter-end stock holdings up to 45 days. Motivated by a recent regulatory debate about the appropriate length of delay for disclosures, I develop a model to examine a financial institution's...
Persistent link: https://www.econbiz.de/10013002915
This paper performs a welfare analysis of markets with private information in which agents can condition on noisy prices in the rational expectations tradition. Price-contingent strategies introduce two externalities in the use of private information: a payoff (pecuniary) externality related to...
Persistent link: https://www.econbiz.de/10013011001
We study a unique Chinese dataset of equity analysts' on-site visits to publicly listed companies. We find that analyst silence (no release of report from visit date to the next quarterly earnings announcement) contains information that negatively impacts both stock returns and earnings...
Persistent link: https://www.econbiz.de/10012916676
The impact finance market has sought to 'internalise externalities and adjust risk perceptions' (G20 Green Finance Study Group, 2016), demonstrating the private sector's capability in resolving the climate free-rider problem through the 'greening' of economic activities, partially bypassing...
Persistent link: https://www.econbiz.de/10013218651
I study a level-k reasoning equilibrium in an asymmetric information environment populated by informed/uninformed agents and noise speculators. The approach provides a bridge between disclosing information and fractions of market participants, and sheds new light on the effects of information...
Persistent link: https://www.econbiz.de/10013235250