Publications des institutions partenaires
Disclosure, investment and regulation
This paper provides a framework to analyze voluntary and mandatory disclosure. Since improved disclosure reduces the entrepreneur's ability to extract private benefits, it secures funding for new investments, but also provides existing claimholders with a windfall gain. As a result, the entrepreneur may choose to forgo investment in favor of extracting more private benefits. A…
Institution partenaire
English / 01/01/2006
Equilibrium impact of value-at-risk regulation
Institution partenaire
English / 01/01/2006
The economic benefit of powerful credit scoring
Institution partenaire
English / 01/01/2006
Optimal credit limit management under different information regimes
Institution partenaire
English / 01/01/2006
Optimal Product Design: A CAPM Approach
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the distribution of given assets, we impose only the price constraint as given by the CAPM and…
Institution partenaire
English / 01/01/2006
Modelling Alpha-Opportunities Within the CAPM
We consider a simple CAPM with heterogenous expectations on assets mean returns while keeping the assumption of homogenous expectations on the covariance of returns. Our first result derives the security market line as an aggregation result without using the two-fund-separation property. In particular every investor can hold optimal portfolios that are underdiversified.In our model…
Institution partenaire
English / 01/01/2006
Market Selection in an Evolutionary Market with Creation and Disappearance of Assets
Identifying investment strategies that will survive in the long run is a main endeavor in the eld of evolutionary nance. The evolutionary perspective on the nancial market considers rather long time horizons, making the creation and disappearance of rms a highly relevant factor in determining such strategies. However, this factor has not been examined in existing research. This paper…
Institution partenaire
English / 01/01/2006
Using revealed preferences to infer environmental benefits, evidence from recreational fishing licenses
We develop and apply a new method for estimating the economic benefits of an environmental amenity. The method is based upon the notion of estimating the derived demand for a privately traded option to utilize an open access good. In particular, the demand for state fishing licenses is used to infer the benefits of recreational fishing. Using panel data on state fishing license sales…
Institution partenaire
English / 01/09/2005
The impact of bank consolidation on commercial borrower welfare
We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is influenced by a strategic focus favoring acquiring borrowers. Bank mergers lead to higher relationship…
Institution partenaire
English / 01/08/2005
Strategic behavior and underpricing in uniform price auctions: Evidence from finnish treasury auctions
We contribute to the debate on the optimal design of multiunit auctions by developingand testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by…
Institution partenaire
English / 01/01/2005
Comment on William C. Brainard and Herbert E. Scarf's "How to Compute Equilibrium Prices in 1891"
Bill and Herb have provided an illuminating and interesting presentation of Irving Fisher's Ph.D. dissertation Mathematical Investigations in the Theory of Value and Prices. They correctly emphasize that Fisher's fundamental contribution to the early theory of general equilibrium was the construction of a machine to compute the equilibrium quantities in a Walrasian model of…
Institution partenaire
English / 01/01/2005
On the Hartree-Fock equations of the electron-positron field
Institution partenaire
English / 01/01/2005
Divisible good auctions: the role of allocation rules
We examine the role of allocation rules in determining the set of equilibrium prices in uniform- price auctions. Beginning with Wilson (1979), the theoretical literature has argued that these auctions are subject to possible low equilibrium prices. We show that this is due to the way the asset is being divided. We focus on allocation rules that specify the way the asset is divided in…
Institution partenaire
English / 01/04/2004
Underpricing and market power in uniform price auctions
In uniform auctions, buyers chosse demand schedules as strategies and the same "market clearing" price for units awarded. Despite the widespread use of these auctions, the extant theory shows that they are susceptible to arbitrarily large underpricing. We make a realistic modification to the theory by letting prices, quantities, and bids be discrete. We show that…
Institution partenaire
English / 01/01/2004
Stationary Markov equilibria for overlapping generations
At a stationary Markov equilibrium of a Markovian economy of overlapping generations, prices at a date-event are determined by the realization of the shock, the distribution of wealth and, with production, the stock of capital. Stationary Markov equilibria may not exist; this is the case with intra-generational heterogeneity and multiple commodities or long life spans. Generalized…
Institution partenaire
English / 01/01/2004
Testable implications of general equilibrium theory: A differentiable approach
Is general equilibrium theory empirically testable? Our perspective on this question differs fromthe standard, Sonnenschein–Debreu–Mantel (SDM) viewpoint. While the SDM tradition considersaggregate (excess) demand as a function of prices, we suppose that what is observable is the equilibriumprice vector as a function of the fundamentals of the economy.We apply this perspective to…
Institution partenaire
English / 01/01/2004
Is intertemporal choice theory testable?
Kreps–Porteus preferences constitute a widely used alternative to time separability. We showin this paper that with these preferences utility maximization does not impose any observable restrictions on a household’s savings decisions or on choices in good markets over time. The additional assumption of a weakly separable aggregator is needed to ensure that the assumption of utility…
Institution partenaire
English / 01/01/2004
A new approach to markov-switching GARCH models
Institution partenaire
English / 01/01/2004
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