A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 317 resources
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The authors study the performance of the rational expectations hypothesis in multiperiod experimental markets with multiple assets. They find that the markets are generally inefficient from the point of view of full information aggregation. However, arbitrage relationships hold and it is not possible to detect the informational inefficiency by using some standard tests of market efficiency. These findings suggest that the lack of arbitrage opportunities and the failure of common tests to reject inefficiency are not sufficient to conclude that a market is informationally efficient.
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In an experiment comparing two-person bargaining and multiperson markets in Israel, Japan, the United States, and Yugoslavia, market outcomes converged to equilibrium everywhere, with no payoff-relevant differences between countries. Bargaining outcomes were everywhere different from equilibrium predictions (both in agreements and in the substantial frequency of disagreements) and differences were observed between countries. Because of the experimental design, the fact that the market behavior is the same in all countries supports the hypothesis that the observed differences are not due to differences in languages, currencies, or experimenters, but may tentatively be attributed to cultural differences. Copyright 1991 by American Economic Association.
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Ordinarily, a monopoly cannot increase its profits by asking customers to sign agreements not to deal with potential competitors. If, however, there are one hundred customers and the minimum efficient scale requires serving fifteen, the monopoly need only lock up eighty-six customers to forestall entry. If each customer believes that the others will sign, each also believes that no rival seller will enter. Hence, an individual customer loses nothing by signaling the exclusionary agreement and will indeed sign. Thus, naked exclusion can be profitable. Copyright 1991 by American Economic Association.
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Lookback options are path dependent contingent claims whose payoffs depend on the extrema of a given security's price over a certain period of time. Using probabilistic tools, the authors derive explicit formulas for various European lookback options and provide some results about their American counterparts.
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Debt and equity are developed as optimal financial instruments in a model where cash flows and control rights are allocated to investors endogenously. When investment decisions must be made by a single party, the debtholder's cash flows are fixed in order to provide the equityholder with efficient incentives for investment. Ownership of control may be transferred to the debtholder to attenuate the impact of asymmetric information, concerning the investment opportunity, on the efficiency of the decision-making.
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The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than six months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.
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- Journal Article (317)