-
作者：He, Zhiguo; Wei, Bin; Yu, Jianfeng; Gao, Feng
作者单位：University of Chicago; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities; Tsinghua University
摘要：We introduce uncertainty into Holmstrom and Milgrom (1987) to study optimal long-term contracting with learning. In a dynamic relationship, the agent's shirking not only reduces current performance, but also increases the agent's information rent due to the persistent belief manipulation effect. We characterize the optimal contract using the dynamic programming technique in which information rent is the unique state variable. In the optimal contract, the optimal effort is front-loaded and stoc...
-
作者：Pouget, Sebastien; Sauvagnat, Julien; Villeneuve, Stephane
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Bocconi University; Bocconi University; Center for Economic & Policy Research (CEPR)
摘要：This paper studies the impact of the confirmatory bias on financial markets. We propose a model in which some traders may ignore new evidence inconsistent with their favorite hypothesis regarding the state of the world. The confirmatory bias provides a unified rationale for several existing stylized facts, including excess volatility, excess volume, and momentum. It also delivers novel predictions for which we find empirical support using data on analysts' earnings forecasts: traders update be...
-
作者：Gargano, Antonio; Rossi, Alberto G.; Wermers, Russ
作者单位：University of Melbourne; University System of Maryland; University of Maryland College Park
摘要：We document a little-known source of information exploited by sophisticated institutional investors: the Freedom of Information Act (FOIA), a law that allows for the disclosure of previously unreleased information by the U.S. Government. Through FOIA requests, we identify several sophisticated institutional investors, chiefly hedge funds, that request information from the FDA. We explore the type of information commonly requested by funds and the types of firms that are targets of FDA-FOIA req...
-
作者：Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.
作者单位：Harvard University; National Bureau of Economic Research; Yale University
摘要：Many experiments have found that participants take more investment risk if they see less frequent returns, portfolio-level returns (rather than each individual asset's returns), or longhorizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to cha...
-
作者：Ahnert, Toni; Kakhbod, Ali
作者单位：Bank of Canada; Massachusetts Institute of Technology (MIT)
摘要：We propose an amplification mechanism of financial crises based on the information choices of investors. Information acquisition makes investors more likely to act against their prior. Deteriorating public news under an initially strong (weak) prior increases (reduces) the value of private information and induces more (less) information acquisition. Deteriorating public news increases the probability of a crisis, since the initially strong (weak) prior induces no attacks (attacks). This effect...
-
作者：Landvoigt, Tim
作者单位：University of Texas System; University of Texas Austin
摘要：I use a life-cycle model of housing demand to infer expectations about house prices and home equity requirements for the housing boom of the 2000s from observed household choices. Expectations and credit constraints are separately identified from the intensive and extensive margins of housing demand. The main results are that (1) expected price growth was close to average long-run growth, (2) home equity requirements were lax initially, but tightened after the bust, and (3) subjective uncertai...
-
作者：Mian, Atif; Sufi, Amir
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago
摘要：Treating fraudulently overstated income on mortgage applications as true income can lead to incorrect conclusions on the nature of the mortgage credit supply expansion toward marginal borrowers from 2002 to 2005. A positive gap between zip-code-level income growth calculated from mortgage applications and income growth from the IRS likely reflects mortgage fraud, not an improvement in home-buyer income. In support of the credit supply view, mortgage credit for home purchase expanded significan...
-
作者：Perignon, Christophe; Vallee, Boris
作者单位：Hautes Etudes Commerciales (HEC) Paris; Harvard University
摘要：We investigate the development of an innovative and high-risk type of borrowing for local governments, known as structured loans. Using transaction data for more than 2,700 local governments in France, we show that the adoption of these instruments is more frequent for politicians from highly indebted local governments, from politically contested areas, and during political campaigns. Taking on structured loans helps incumbents win a reelection, and initially allows them to maintain lower taxe...
-
作者：Cole, Shawn; Gine, Xavier; Vickery, James
作者单位：Harvard University; The World Bank; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Weather is a key source of income risk, especially in emerging market economies. This paper uses a randomized controlled trial involving Indian farmers to study how an innovative rainfall insurance product affects production decisions. We find that insurance provision induces farmers to invest more in higher-return but rainfall-sensitive cash crops, particularly among educated farmers. This shift in behavior occurs ex ante, when realized monsoon rainfall is still uncertain. Our results suggest...
-
作者：Fischbacher, Urs; Hoffmann, Gerson; Schudy, Simeon
作者单位：University of Konstanz; University of Munich
摘要：We investigate whether automatic selling devices causally reduce investors' disposition effect (DE) in a laboratory experiment. Investors can actively buy and sell assets. Investors in the treatment group use stop-loss and take-gain options to automatically sell assets. In addition, we introduce a reminder condition that reminds investors about their selling plan if a limit is hit. Results show that the automatic selling device treatment significantly reduces the DEs, but the reminder treatmen...
