-
作者：Pomatto, Luciano
作者单位：California Institute of Technology
摘要：Predictions about the future are commonly evaluated through statistical tests. As shown by recent literature, many known tests are subject to adverse selection problems and cannot discriminate between forecasters who are competent and forecasters who are uninformed but predict strategically. We consider a framework where forecasters' predictions must be consistent with a paradigm, a set of candidate probability laws for the stochastic process of interest. This paper presents necessary and suff...
-
作者：Hatfield, John William; Kominers, Scott Duke; Nichifor, Alexandru; Ostrovsky, Michael; Westkamp, Alexander
作者单位：University of Texas System; University of Texas Austin; Harvard University; Harvard University; National Bureau of Economic Research; University of Melbourne; Stanford University; University of Cologne
摘要：In a general model of trading networks with bilateral contracts, we propose a suitably adapted chain stability concept that plays the same role as pairwise stability in two-sided settings. We show that chain stability is equivalent to stability if all agents' preferences are jointly fully substitutable and satisfy the Laws of Aggregate Supply and Demand. In the special case of trading networks with transferable utility, an outcome is consistent with competitive equilibrium if and only if it is...
-
作者：Levy, Gilat; Razin, Ronny
摘要：We model an individual who wants to learn about a state of the world. The individual has a prior belief and has data that consist of multiple forecasts about the state of the world. Our key assumption is that the decision maker identifies explanations that could have generated this data and among these focuses on those that maximize the likelihood of observing the data. The decision maker then bases her final prediction about the state on one of these maximum likelihood explanations. We show t...
-
作者：Heidhues, Paul; Koszegi, Botond; Strack, Philipp
作者单位：Heinrich Heine University Dusseldorf; Yale University
摘要：We establish convergence of beliefs and actions in a class of one-dimensional learning settings in which the agent's model is misspecified, she chooses actions endogenously, and the actions affect how she misinterprets information. Our stochastic-approximation-based methods rely on two crucial features: that the state and action spaces are continuous, and that the agent's posterior admits a one-dimensional summary statistic. Through a basic model with a normal-normal updating structure and a g...
-
作者：Miao, Jianjun; Wu, Jieran; Young, Eric R.
作者单位：Boston University; Zhejiang University; University of Virginia
摘要：We provide a production-based asset pricing model with dispersed information and small deviations from full rational expectations. In the model, aggregate output and equity prices depend on the higher-order beliefs about aggregate demand and individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of idiosyncratic shocks diverges to infinity due to the interaction of signal extraction with idiosyncratic trading decisions, while a...
-
作者：Baumann, Leonie
作者单位：McGill University
摘要：This paper proposes a game of weighted network formation in which each agent has a limited resource to form links of possibly different intensities with other agents and to use for private purposes. We show that every equilibrium is either reciprocal or nonreciprocal. In a reciprocal equilibrium, any two agents invest equally in the link between them. In a nonreciprocal equilibrium, agents are partitioned into concentrated and diversified agents, and a concentrated agent is only linked to dive...
-
作者：Miller, Alan D.
作者单位：Western University (University of Western Ontario)
摘要：I introduce a model of shareholder voting. I describe and provide characterizations of three families of shareholder voting rules: ratio rules, difference rules, and share majority rules. The characterizations rely on two key axioms: merger consistency, which requires consistency in voting outcomes following stock-for-stock mergers, and reallocation invariance, which requires the shareholder voting rule to be immune to certain manipulative techniques used by shareholders to hide their ownershi...
-
作者：Horan, Sean
作者单位：Universite de Montreal
摘要：Despite the wide variety of agendas used in legislative settings, the literature on sophisticated voting has focused on two formats: the so-called Euro-Latin and Anglo-American agendas. In the current paper, I introduce a broad class of agendas whose defining structural features-history-independence and persistence-are common in legislative settings. I then characterize the social choice rules implemented by sophisticated voting on agendas with these two features. I also characterize the rules...
-
作者：Kreps, David M.; Schachermayer, Walter
作者单位：Stanford University; University of Vienna
摘要：We examine the connection between discrete-time models of financial markets and the celebrated Black-Scholes-Merton (BSM) continuous-time model in which markets are complete. Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and (b) the largest possible one-period step in the discrete-time models converges to zero. We prove that, under these assumptions, every bounded and continuous contingent claim can be asymptotically synthesize...
-
作者：Mueller-Frank, Manuel; Neri, Claudia
作者单位：University of Navarra; IESE Business School
摘要：We analyze boundedly rational learning in social networks within binary action environments. We establish how learning outcomes depend on the environment (i.e., informational structure, utility function), the axioms imposed on the updating behavior, and the network structure. In particular, we provide a normative foundation for quasi-Bayesian updating, where a quasi-Bayesian agent treats others' actions as if they were based only on their private signal. Quasi-Bayesian updating induces learnin...
