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作者：Bollerslev, Tim; Li, Jia; Xue, Yuan
作者单位：Duke University
摘要：We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our es...
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作者：Hebert, Benjamin
作者单位：Stanford University
摘要：I show that, in a benchmark model, debt securities minimize the welfare losses associated with the moral hazards of excessive risk-taking and lax effort. For any security design, the variance of the security payoff is a statistic that summarizes these welfare losses. Debt securities have the least variance, among all limited liability securities with the same expected value. In other models, mixtures of debt and equity are exactly optimal, and pure debt securities are approximately optimal. I ...
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作者：Ehling, Paul; Graniero, Alessandro; Heyerdahl-Larsen, Christian
作者单位：BI Norwegian Business School; University of London; London Business School
摘要：We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who b...
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作者：Dellavigna, Stefano; Pope, Devin
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Chicago
摘要：How much do different monetary and non-monetary motivators induce costly effort? Does the effectiveness line up with the expectations of researchers and with results in the literature? We conduct a large-scale real-effort experiment with eighteen treatment arms. We examine the effect of (1) standard incentives; (2) behavioural factors like social preferences and reference dependence; and (3) non-monetary inducements from psychology. We find that (1) monetary incentives work largely as expected...
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作者：Masten, Matthew A.
作者单位：Duke University
摘要：This article considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations models are used to study social interactions, strategic interactions between firms, and market equilibrium. Random coefficient models allow for heterogeneous marginal effects. I show that random coefficient seemingly unrelated regression models with common regressors are not point identified, which implies random coefficient simultaneous equations ...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：Kernel-based estimators such as local polynomial estimators in regression discontinuity designs are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals (CIs) may not have correct coverage, even if the estimator is unbiased. This article proposes a simple adjustment that gives correct coverage in such situations: replace the normal quantile wi...
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作者：Kyle, Albert S.; Obizhaeva, Anna A.; Wang, Yajun
作者单位：University System of Maryland; University of Maryland College Park; New Economic School
摘要：We describe a symmetric continuous-time model of trading among relatively overconfident, oligopolistic informed traders with exponential utility. Traders agree to disagree about the precisions of their continuous flows of Gaussian private information. The price depends on a trader's inventory (permanent price impact) and the derivative of a trader's inventory (temporary price impact). More disagreement makes the market more liquid; without enough disagreement, there is no trade. Target invento...
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作者：Benigno, Gianluca; Fornaro, Luca
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作者：Chan, Jimmy; Lizzeri, Alessandro; Suen, Wing; Yariv, Leeat
作者单位：Fudan University; New York University; University of Hong Kong; California Institute of Technology
摘要：We present a dynamic model of sequential information acquisition by a heterogeneous committee. At each date, agents decide whether to vote to adopt one of two alternatives or continue to collect more information. The process stops when a qualified majority vote for an alternative. Three main insights emerge from our analysis and are consistent with an array of stylized facts regarding committee decision making. First, majority rule is more vulnerable than super-majority rules to the disproport...
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作者：Zhu, John Y.
作者单位：University of Pennsylvania
摘要：I consider a dynamic principal-agent setting in which the agent repeatedly chooses between hidden long-term and short-term actions. Relative to the long-term action, the short-term action boosts output today but hurts output tomorrow. I explicitly characterize the optimal contract that always induces the long-term action. It features a cliff-like arrangement that rewards high output today based on the streak of consecutive high outputs the agent has generated leading up to today: The longer th...
