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作者：ZINGALES, L
摘要：This paper focuses on the role of an initial public offering (IPO) in maximizing the proceeds an initial owner obtains in selling his company. In deciding whether to undertake an IPO, and what fraction of ownership to retain, the initial owner must balance two factors. By selling to dispersed shareholders, he maximizes his proceeds from the sale of cash flow rights. However, by directly bargaining with a potential buyer, he maximizes his proceeds from the sale of control rights. Whether a comp...
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作者：FEENSTRA, RC; LEVINSOHN, JA
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We demonstrate how to estimate a model of oligopoly pricing when products are multi-dimensionally differentiated. We provide an empirical counterpart to recent theoretical work on product differentiation. Using specifications informed by economic theory, we estimate price-cost margins for products differentiated in many dimensions.
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作者：BALASKO, Y; CASS, D; SHELL, K
作者单位：heSam Universite; Universite Pantheon-Sorbonne; University of Pennsylvania; Cornell University
摘要：We investigate the structure of competitive equilibria in an exchange economy parametrized by (i) endowments and (ii) restrictions on market participation. For arbitrary regular endowments, if few consumers are restricted, there are no sunspot equilibria. If endowments are allowed to vary, while restrictions on market participation are fixed, there is a generic set of preferences such that sunspot equilibria exist for a non-empty subset of endowments. Our analysis extends to the general case o...
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作者：SENTANA, E
摘要：We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in multivariate models t...
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作者：STOKEY, NL
摘要：The aggregate rate of RandD in a competitive economy is compared with the optimal rate. The optimal rate of RandD is shown to be the same for all preferences in a broad family, while the competitive rate is sensitive to the form of substitutability among products and so can vary dramatically within a family. The second-best level of RandD is shown to be also common within a family and equal to the optimal rate. Numerical examples suggest that diminishing returns in the innovation technology is...
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作者：NEWEY, WK; WEST, KD
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean-squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions.
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作者：HOTZ, VJ; MILLER, RA; SANDERS, S; SMITH, J
作者单位：Carnegie Mellon University
摘要：This paper analyses a new estimator for the structural parameters of dynamic models of discrete choice. Based on an inversion theorem due to Hotz and Miller (1993), which establishes the existence of a one-to-one mapping between the conditional valuation functions for the dynamic problem and their associated conditional choice probabilities, we exploit simulation techniques to estimate models which do not possess terminal states. In this way our Conditional Choice Simulation (CCS) estimator co...
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作者：WANG, J
摘要：This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors increases the risk premium. Supply shocks can affect the risk premium only under asymmetric informati...
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作者：TIAN, GQ
摘要：This paper provides necessary and sufficient conditions for the existence of greatest and maximal elements of weak and strict preferences, and unifies two very different approaches used in the related literature (the convexity and acyclicity approaches). Conditions called transfer FS-convexity and transfer SS-convexity are shown to be necessary and, in conjunction with transfer closedness and transfer openness, sufficient for the existence of greatest and maximal elements of weak and strict pr...
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作者：CAMPBELL, JY; KYLE, AS
作者单位：University of California System; University of California Berkeley
摘要：This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous ''noise traders'' interact with ''smart-money'' investors who have constant absolute risk aversion. The model can explain the volatility and predictability of U.S. stock returns in the period 1871-1986 using either a low discount rate (4% or below) and a large constant risk discount on the stock price, or a higher discount r...
