-
作者：He, Wei; Sun, Yeneng
作者单位：Chinese University of Hong Kong; National University of Singapore
摘要：The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called (decomposable) coarser transition kernels. This result covers various earlier existence results on correlated equilibria, noisy stochastic games, stochastic games with finite actions and state-independent transitions, and stochastic games with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between ...
-
作者：Heller, Yuval
作者单位：Bar Ilan University
摘要：Various papers have presented folk theorem results for repeated games with private monitoring that rely on belief-free equilibria. I show that these equilibria are not robust against small perturbations in the behavior of potential opponents. Specifically, I show that essentially none of the belief-free equilibria is evolutionarily stable, and that in generic games none of these equilibria is neutrally stable. Moreover, in a large family of games (which includes many public good games), the be...
-
作者：Hwang, Ilwoo; Li, Fei
作者单位：University of Miami; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We study the effect of the transparency of outside options in bilateral bargaining. A seller posts prices to screen a buyer over time, and the buyer may receive an outside option at a random time. We consider two information regimes: one in which the arrival of the outside option is public and one in which the arrival is private. A public arrival of the outside option works as a commitment device that forces the buyer to opt out immediately. This effect leads to a generically unique equilibriu...
-
作者：Jerez, Belen
作者单位：Universidad Carlos III de Madrid
摘要：We analyze a competitive (price-taking) search model where workers and firms make costly investments (e.g. in education and physical capital, respectively) before they enter the labor market. The environment features transferable utility and symmetric information. A key novelty with respect to existing work is that we allow for multidimensional heterogeneity on both sides of the market. The probabilities of finding and filling different jobs and the corresponding wages are determined endogenou...
-
作者：Bhamra, Harjoat S.; Shim, Kyung Hwan
作者单位：Imperial College London; University of New South Wales Sydney; University of New South Wales Sydney
摘要：Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between firm-level stock returns and idiosyncratic volatility). Our approach is based on introducing stochastic idiosyncratic cash flow risk into an equity valuation model of firms with growth options. Within our mo...
-
作者：Kuzmics, Christoph; Steg, Jan-Henrik
作者单位：University of Graz; University of Bielefeld
摘要：Consider a mechanism for the binary public good provision problem that is dominant strategy incentive compatible (DSIC), ex-post individually rational (EPIR), and ex-post budget balanced (EPBB). It is well known that if there are only two agents, then any such mechanism must have a threshold (or fixed cost-sharing) form, providing the public good if and only if both agents have values that are at least their respective thresholds. When there are more than two agents, there are mechanisms that ...
-
作者：Henderson, Vicky; Hobson, David; Tse, Alex S. L.
作者单位：University of Warwick; University of Oxford; University of Cambridge
摘要：When prospect theory (PT) is applied in a dynamic context, the probability weighting component brings new challenges. We study PT agents facing optimal timing decisions and consider the impact of allowing them to follow randomized strategies. In a continuous-time model of gambling and optimal stopping, Ebert and Strack (2015) show that a naive PT investor with access only to pure strategies never stops. We show that allowing randomization can significantly alter the predictions of their model,...
-
作者：Condie, Scott; Ganguli, Jayant
作者单位：Brigham Young University; University of Essex
摘要：When private information is observed by ambiguity averse investors, asset prices may be informationally inefficient in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed investors require a premium to hold assets and higher return volatility relative to informationally efficient benchmarks. Moreover, asset returns are negatively skewed and may be leptokurtic. Inefficiency also leads to amplification in price of small changes in news, relative to infor...
-
作者：Sun, Xiang; Sun, Yeneng; Wu, Lei; Yannelis, Nicholas C.
作者单位：Wuhan University; National University of Singapore; University of Iowa
摘要：This paper considers three solution concepts in a large private information economy, namely, Walrasian expectations equilibrium, private core, and insurance equilibrium. It shows that these three concepts coincide with each other when the agents are informationally negligible in such an economy. In contrast to the finite-agent setting, one can construct a large private information economy in which incentive compatibility fails completely in the sense that almost every agent in any Walrasian ex...
-
作者：Du, Songzi; Zhu, Haoxiang
作者单位：Simon Fraser University; Massachusetts Institute of Technology (MIT)
摘要：Existing models of divisible double auctions typically require three or more traders when there are two traders, the usual linear equilibria imply market breakdowns unless the traders' values are negatively correlated. This paper characterizes a family of nonlinear ex post equilibria in a divisible double auction with only two traders, who have interdependent values and submit demand schedules. The equilibrium trading volume is positive but less than the first best. Closed-form solutions are o...
