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作者：Glode, Vincent; Opp, Christian
作者单位：University of Pennsylvania
摘要：We propose a parsimonious model of bilateral trade under asymmetric information to shed light on the prevalence of intermediation chains that stand between buyers and sellers in many decentralized markets. Our model features a classic problem in economics where an agent uses his market power to inefficiently screen a privately informed counterparty. Paradoxically, involving moderately informed intermediaries also endowed with market power can improve trade efficiency. Long intermediation chain...
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作者：Masatlioglu, Yusufcan; Raymond, Collin
作者单位：University System of Maryland; University of Maryland College Park; Amherst College
摘要：We examine the reference-dependent risk preferences of Koszegi and Rabin (2007), focusing on their choice-acclimating personal equilibria. Although their model has only a trivial intersection (expected utility) with other reference-dependent models, it has very strong connections with models that rely on different psychological intuitions. We prove that the intersection of rank-dependent utility and quadratic utility, two well-known generalizations of expected utility, is exactly monotone line...
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作者：Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ
作者单位：University of Chicago; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
摘要：We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follo...
