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Owning Capital or Being Shareholders: An Equivalence Result with Incomplete Markets

Carceles Poveda, Eva; Coen-Pirani, Daniele - 2008

Many recent papers in macroeconomics have studied the implications of models with household heterogeneity and incomplete financial markets under the assumption that households own the stock of physical capital and undertake the intertemporal investment decisions. In these models, production...

Persistent link: https://www.econbiz.de/10009441027

Computing the Value of the Real Option to Transport Natural Gas and Its Sensitivities

Wang, Mulan X.; Secomandi, Nicola - 2009

In the United States natural gas pipelines lease their transport capacity to shippers via contracts, which shippers manage as real options on differences between natural gas prices at different geographical locations. In practice it is common to value these real options using spread option...

Persistent link: https://www.econbiz.de/10009441028

Extensions of Lo’s Semiparametric Bound for European Call Options

Zuluaga, Luis F.; Peña, Javier F.; Du, Donglei - 2006

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend...

Persistent link: https://www.econbiz.de/10009441029

On-Campus Housing: Theory vs. Experiment

Guillen, Pablo; Kesten, Onur - 2008

-Shapley mechanism of two-sided matching theory. Motivated from the increasing popularity and success of the Gale-Shapley mechanism in a … number of markets, we next experimentally compare the performances of the MIT mechanism with that of the leading theory … mechanism Top Trading Cycles. Contrary to theory, the MIT mechanism performs better in terms of efficiency and participation …

Persistent link: https://www.econbiz.de/10009441039

Does the Profit Motive Make Jack Nimble? Ownership Form and the Evolution of the U.S. Hospital Industry

Chakravarty, Sujoy; Gaynor, Martin; Klepper, Stephen; … - 2005

We examine the evolving structure of the U.S. hospital industry since 1970, focusing on how ownership form influences entry and exit behavior. We develop theoretical predictions based on the model of Lakdawalla and Philipson, in which for-profit and not-for-profit hospitals differ regarding...

Persistent link: https://www.econbiz.de/10009441040

Is The Fiscal Theory of the Price Level Learnable?

McCallum, Bennett T. - 2003

significance.1 If the theory expounded in these papers was valid in actuality, there would be major implications for the manner in … The purpose of the present paper is to describe this theory and provide one major reason why I believe that it is not …

Persistent link: https://www.econbiz.de/10009441054

Financial Leverage and the Leverage Effect - A Market and Firm Analysis

Aydemir, A. Cevdet; Gallmeyer, Michael; Hollifield, Burton - 2007

We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with debt and equity claims. The effect of financial leverage is studied both at a market and a firm level where the firm is exposed to both idiosyncratic and market risk. In a...

Persistent link: https://www.econbiz.de/10009441057

Reconsideration of the P-Bar Model of Gradual Price Adjustment

McCallum, Bennett T. - 2008

This paper compares the P-bar model of price adjustment with the currently dominant Calvo specification. Theoretically, the P-bar model is more attractive as it depends on adjustment costs for physical quantities rather than nominal prices, while incorporating a one-period information lag....

Persistent link: https://www.econbiz.de/10009441077

Accounting Conservatism and Debt Contracts: Efficient Liquidation and Covenant Renegotiation

Li, Jing - 2009

his paper develops a theoretical model to understand the contractual role of accounting conservatism in debt contracts. The optimal debt contract includes an accounting based covenant that gives the creditor the right to liquidate when accounting information reveals unfavorable news about the...

Persistent link: https://www.econbiz.de/10009441096

CCP Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity

Arcidiacono, Peter; Miller, Robert A - 2008

We adapt the Expectation-Maximization (EM) algorithm to incorporate unobserved hetero- geneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant, fully transitory, or follow a Markov chain. By exploiting...

Persistent link: https://www.econbiz.de/10009441098