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作者：McQuillin, Ben; Sugden, Robert
作者单位：University of East Anglia; University of East Anglia
摘要：We present a noncooperative game model of coalitional bargaining, closely based on that of Gul (1989) but solvable by backward induction. In this game, Gul's condition of value additivity does not suffice to ensure the existence of a subgame perfect Nash equilibrium that supports the Shapley value, but a related conditionno positive value-externalitiesdoes. Multiple equilibria can arise only in the event of ties, and with a mild restriction on tie-break rules these equilibria all support the S...
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作者：[Anonymous]
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作者：Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Harvard University; New York University
摘要：We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the United Kingdom and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are finite-maturity, pre-paid, and tradeable ownership contracts with maturit...
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作者：Kacperczyk, Marcin; Van Nieuwerburgh, Stijn; Veldkamp, Laura
作者单位：Imperial College London; New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; New York University
摘要：The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the largest literatures in finance. One candidate explanation is that funds process information about future asset values and use that information to invest in high-valued assets. But formal theories are scarce because information choice models with many assets are difficult to solve as well as difficult to test. This paper tackles both problems by developing a new attention alloca...
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作者：He, Zhiguo; Kondor, Peter
作者单位：University of Chicago; National Bureau of Economic Research; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We show that firms' individually optimal liquidity management results in socially inefficient boom-and-bust patterns. Financially constrained firms decide on the level of their liquid resources facing cash-flow shocks and time-varying investment opportunities. Firms' liquidity management decisions generate simultaneous waves in aggregate cash holdings and investment, even if technology remains constant. These investment waves are not constrained efficient in general, because the social and pri...
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作者：LaFave, Daniel; Thomas, Duncan
作者单位：Colby College; Duke University
摘要：The farm household model has played a central role in improving the understanding of small-scale agricultural households and non-farm enterprises. Under the assumptions that all current and future markets exist and that farmers treat all prices as given, the model simplifies households' simultaneous production and consumption decisions into a recursive form in which production can be treated as independent of preferences of household members. These assumptions, which are the foundation of a la...
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作者：Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
作者单位：Universita della Svizzera Italiana; University of Geneva; University of Geneva
摘要：We develop an econometric methodology to infer the path of risk premia from a large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes both instruments common to all assets and asset-specific instruments. The estimator uses simple weighted two-pass cross-sectional regressions, and we show its consistency and asymptotic normality under increasing cross-sectional and time series...
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作者：Ekmekci, Mehmet; Kos, Nenad
作者单位：Boston College; Bocconi University; Bocconi University
摘要：We study takeovers of firms whose ownership structure is a mixture of minority block-holders and small shareholders. We show that the combination of dispersed private information on the side of small shareholders and the presence of a large shareholder can facilitate profitable takeovers. Furthermore, our analysis implies that even if some model of takeovers predicts a profit for the raider, for example, due to private benefits, the profit will be underestimated unless the large shareholder an...
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作者：Lu, Jay
作者单位：University of California System; University of California Los Angeles
摘要：We consider an agent who chooses an option after receiving some private information. This information, however, is unobserved by an analyst, so from the latter's perspective, choice is probabilistic or random. We provide a theory in which information can be fully identified from random choice. In addition, the analyst can perform the following inferences even when information is unobservable: (1) directly compute ex ante valuations of menus from random choice and vice versa, (2) assess which a...
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作者：Armstrong, Timothy B.
作者单位：Yale University; Yale University
摘要：IO economists often estimate demand for differentiated products using data sets with a small number of large markets. This paper addresses the question of consistency and asymptotic distributions of instrumental variables estimates as the number of products increases in some commonly used models of demand under conditions on economic primitives. I show that, in a Bertrand-Nash equilibrium, product characteristics lose their identifying power as price instruments in the limit in certain cases, ...
