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Evolution and market behavior with endogenous investment rules
Bottazzi, Giulio; Dindo, Pietro - 2010
In a complete market for short-lived assets, we investigate long run wealth-driven selection on a general class of investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to asset mis-pricing and informational efficiencies, is a...
Persistent link: https://www.econbiz.de/10008729026
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The equilibrium set of economies with a continuous consumption space
Covarrubias, Enrique - 2010
We study global properties of the equilibrium set of economies with a continuous consumption space. This framework is … states of nature) and commodity differentiation. We show that the equilibrium set is contractible which implies that (i …) there is a continuous economic policy linking any two equilibrium states, and (ii) any two such economic policies can be …
Persistent link: https://www.econbiz.de/10008656723
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...
Persistent link: https://www.econbiz.de/10009009683
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The singular value decomposition of a technology matrix
Fisher, Eric O'Neill - 2014
This paper is the first application of the singular value decomposition in general equilibrium theory. Every technology …
Persistent link: https://www.econbiz.de/10010229880
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015
Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...
Persistent link: https://www.econbiz.de/10010499534
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Price Dispersion and Demand Uncertainty : Evidence from US Scanner Data
Eden, Benjamin - 2014
I use the Prescott (1975) hotels model to explain variations in price dispersion across goods sold by supermarkets in Chicago. I extend the theory to accounts for the monopoly power of chains and for non-shoppers. The main empirical finding is that the effect of demand uncertainty on price...
Persistent link: https://www.econbiz.de/10013046882
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The Dynamics of Business Creation and Exit in Disequilibrium : The USA 1998-2003
Burke, Andrew E. - 2009
Despite the idea of a sustainable/equilibrium number of businesses being at the core of economics, very little … process so that the actual number of business establishments is most usually not equal to the equilibrium number even though …
Persistent link: https://www.econbiz.de/10012718857
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Determinants of U.S. Business Investment
Kopp, Emanuel - 2018
U.S. business investment has taken a serious toll during the global financial crisis and also in the recovery phase investment did not pick up as expected. What is surprising is that the alleged investment slowdown happened at a time of record corporate profits and retained earnings, highly...
Persistent link: https://www.econbiz.de/10012913931
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Capital market development over the long run: The portfolios of UK life assurers over two centuries
Bogle, David A.; Coyle, Christopher; Turner, John D. - 2020
What shapes and drives capital market development over the long run? In this paper, using the asset portfolios of UK life assurers, we examine the role of regulation, historical contingency and political reactions to events on the long-run development of the UK capital market. Government...
Persistent link: https://www.econbiz.de/10012315242
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Capital Market Development Over the Long Run: The Portfolios of UK Life Assurers Over Two Centuries
Bogle, David; Coyle, Christopher; Turner, John D. - 2020
What shapes and drives capital market development over the long run? In this paper, using the asset portfolios of UK life assurers, we examine the role of regulation, historical contingency and political reactions to events on the long-run development of the UK capital market. Government...
Persistent link: https://www.econbiz.de/10014284471