Lack of explicit markets and associated data have impeded measurement of nonpecuniary rewards in the workplace. Most of the published literature employs hedonic models that permit estimation of market-clearing prices, but do not allow for identification of demand schedules. In an alternative approach, used successfully by environmental economists, the author develops quasi-market data and uses it to estimate demand for the nonpecuniary rewards associated with leadership. In addition to price responsiveness, individuals exhibit tastes for the amenities of leadership that differ substantially, and in expected directions, with their personal and professional characteristics. Copyright 1991 by MIT Press.

This paper studies a multiperiod moral hazard problem under two assumptions: (i) contracts are subject to renegotiations; (ii) the agent's action has long-term effects. The action is also interpreted as a choice of characteristic or “type.” Renegotiation-proof contracts that implement various actions, including random ones, are characterized. Under appropriate conditions, the equilibrium involves the principal implementing a random action. Therefore, the equilibrium has standard properties of “adverse selection” models.

Journal Article Entry Deterrence, Divisionalization, and Investment Decisions Get access E. C. H. Veendorp E. C. H. Veendorp Clark University Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 106, Issue 1, February 1991, Pages 297–307, https://doi.org/10.2307/2937918 Published: 01 February 1991

Existing conditions for gainful trade under conditions of variable returns to scale are merely sufficient. Basing ourselves on the possible non-uniqueness of the production equilibrium under variable returns, we develop a globally valid necessary and sufficient condition for gainful trade. In particular, it is shown that trade may be gainful without changes in product prices, even if trade results in a loss of productivity.

This paper deals with error correction models (ECM's) and cointegrated systems that are formulated in continuous time. Long-run equilibrium coefficients in the continuous system are always identified in the discrete time reduced form, so that there is no aliasing problem for these parameters. The long-run relationships are also preserved under quite general data filtering. Frequency domain procedures are outlined for estimation and inference. These methods are asymptotically optimal under Gaussian assumptions and they have the advantages of simplicity of computation and generality of specification, thereby avoiding some methodological problems of dynamic specification. In addition, they facilitate the treatment of data irregularities such as mixed stock and flow data and temporally aggregated partial equilibrium formulations. Models with restricted cointegrating matrices are also considered.

We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein–Uhlenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of “fat tails” in stock price distributions.

[We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein-Uhlenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of "fat tails" in stock price distributions.]

Abstract. The auditor must trade off potential losses from both ineffectiveness (failure to detect client errors) and inefficiency. However, auditing standards do not specify how the auditor is to achieve an appropriate balance between these two conflicting objectives. This paper presents a multiple criteria decision‐making (MCDM) model of an audit planning decision in which an effectiveness vs. efficiency trade‐off is required. The key advantage of the MCDM model developed here is that an optimal solution is obtained without requiring ex ante specification of a loss function by the auditor. Thus, the model addresses a previously recognized problem (e.g., Menzefricke, 1984) that loss functions may vary depending on characteristics of the audit. In this paper, we develop a model of the auditor's sampling plan selection problem incorporating multiple decision criteria, use the model under a variety of simulated audit conditions, and compare our results with previous research. Résumé. Le vérificateur doit parvenir à un compromis entre les pertes pouvant être occasionnées à la fois par l'inefficacité (non‐détection d'erreurs commises par l'entreprise cliente) et l'inefficience. Les normes de vérification ne précisent cependant pas comment le vérificateur doit parvenir à un équilibre approprié entre ces deux objectifs conflictuels. Les auteurs proposent un modèle de dècision à critères multiples qui s'applique à la décision de planification de la vérification exigeant un compromis efficacité‐efficience. Le principal avantage de ce modèle est qu'il permet d'obtenir une solution optimale sans exiger la formulation ex ante par le vérificateur d'une fonction de perte. Le modèle porte done sur une question sur laquelle se sont déjà penchés les chercheurs (Menzefricke, 1984, par exemple): les fonctions de perte peuvent varier selon les caractéristiques de la vérification. Les auteurs élaborent ici un modèle qui s'applique au problème de sélection par le vérificateur d'un plan d'échantillonnage incorporant des critères de décision multiples. Ils utilisent le modèle en simulant diverses situations de vérification et comparent les résultats obtenus avec ceux des travaux précédents.