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作者：Easley, David; Yang, Liyan
作者单位：Cornell University; University of Toronto; Peking University
摘要：This paper studies the wealth and pricing implications of loss aversion in the presence of arbitrageurs with Epstein-Zin preferences. Loss aversion affects an investor's survival prospects mainly through its effect on the investor's portfolio holdings. Loss-averse investors will be driven out of the market and do not affect long-run prices if their portfolio positions are further away from those corresponding to the log investor than arbitrageurs. In terms of wealth shares, the market selectio...
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作者：Duffie, Darrell; Malamud, Semyon; Manso, Gustavo
作者单位：Stanford University; National Bureau of Economic Research; Swiss Finance Institute (SFI); University of California System; University of California Berkeley
摘要：We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including initial information precision, and also in terms of market connectivity, the expected frequency of their bilateral trading opportunities. We characterize endogenous information acquisition and show how learning externalities affect information g...
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作者：Fuchs, William; Skrzypacz, Andrzej
作者单位：University of California System; University of California Berkeley; Stanford University
摘要：We study government interventions in a dynamic market with asymmetric information. We show that restricting trading opportunities after an initial round of trade is always optimal. Under a sufficient condition it is optimal to subsidize trades only at time zero while imposing prohibitively high taxes afterwards. If interventions are required to generate a Pareto improvement over laissez-faire then trade is only restricted for a short amount of time. If additional sellers can arrive later, the ...
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作者：Lee, Jihong; Sabourian, Hamid
作者单位：Seoul National University (SNU)
摘要：This paper examines the problem of repeatedly implementing an efficient social choice function when the agents' preferences evolve randomly. We show that the freedom to set different mechanisms at different histories can give the planner an additional leverage to deter undesirable behavior even if the mechanisms are restricted to be simple and finite. Specifically, we construct a history-dependent sequence of simple mechanisms such that, with minor qualifications, every pure subgame perfect eq...
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作者：Ui, Takashi; Yoshizawa, Yasunori
作者单位：Hitotsubashi University; Yokohama National University
摘要：This paper characterizes the social value of information in Bayesian games with symmetric quadratic payoff functions and normally distributed public and private signals. The main result provides a necessary and sufficient condition for welfare to increase with public or private information. In so doing, we represent welfare as a linear combination of the variance of a common term in an equilibrium strategy and that of an idiosyncratic term, which are referred to as the common variance and the ...
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作者：Dillenberger, David; Rozen, Kareen
作者单位：University of Pennsylvania; Yale University; Yale University
摘要：We propose a model of history-dependent risk attitude, allowing a decision maker's risk attitude to be affected by his history of disappointments and elations. The decision maker recursively evaluates compound risks, classifying realizations as disappointing or elating using a threshold rule. We establish equivalence between the model and two cognitive biases: risk attitudes are reinforced by experiences (one is more risk averse after disappointment than after elation) and there is a primacy e...
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作者：Barelli, Paulo; Duggan, John
作者单位：University of Rochester; University of Rochester
摘要：We prove existence and purification results for strategic environments possessing a product structure that includes classes of large games, stochastic games, and models of endogenous institutions. Applied to large games, the results yield existence of pure-strategy equilibria allowing for infinite-dimensional externalities. Applied to stochastic games, the results yield existence of stationary Markov perfect equilibria with extremal payoffs, which in turn yields existence of pure strategy stat...
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作者：Lester, Benjamin; Visschers, Ludo; Wolthoff, Ronald
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Edinburgh; Universidad Carlos III de Madrid; University of Toronto
摘要：In a market in which sellers compete by posting mechanisms, we study how the properties of the meeting technology affect the mechanism that sellers select. In general, sellers have incentive to use mechanisms that are socially efficient. In our environment, sellers achieve this by posting an auction with a reserve price equal to their own valuation, along with a transfer that is paid by (or to) all buyers with whom the seller meets. However, we define a novel condition on meeting technologies,...
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作者：Georganas, Sotiris; Healy, Paul J.; Weber, Roberto A.
作者单位：City St Georges, University of London; University System of Ohio; Ohio State University; University of Zurich
摘要：We examine whether the Level-k model of strategic behavior generates reliable cross-game predictions at the individual level. We find no correlation in subjects' estimated levels of reasoning across two families of games. Furthermore, estimating a higher level for Ann than Bob in one family of games does not predict their ranking in the other. Direct tests of strategic reasoning generally do not predict estimated levels. Within families of games, we find that levels are fairly consistent withi...
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作者：Burkett, Justin
作者单位：Wake Forest University
摘要：In prior literature, bidders' budget constraints have been shown to change revenue and efficiency rankings among auction formats. These results, however, are based on the implicit assumption that the nature of the budget constraint is unaffected by auction rules. I extend the standard symmetric model of auctions for a single good to include principals that optimally constrain their bidder to mitigate an agency problem between the two. I show that the outcomes of the first- and second-price auc...
