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 336 resources
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The authors examine the effect of segmented commodity markets on the relation between forward future spot exchange rates in a dynamic economy. They calculate the slope coefficient in their theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data.
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While optimal monetary policy is subject to a credibility problem, it is often argued that the government should appoint a central banker whose incentives differ from the government's. The author argues, however, that such delegation does not overcome credibility problems given that delegation is discretionary and without costs. 'Reappointment costs' of delegation are shown to improve suboptimal outcomes but credibility of optimal monetary policy turns out be worsened. At best, delegation therefore has no effects on credibility, but only if reappointment has no costs. Copyright 1997 by American Economic Association.
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Darrell Duffie (1996) examines the theoretical impact of repo 'specials' on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. The authors examine this hypothesis and find strong evidence in support of it. They also examine whether the liquidity premium associated with 'on-the-run' issues is due to repo specialness and find evidence of a distinct effect. Finally, the authors investigate whether auction tightness and percentage awarded to dealers are related to subsequent specialness and find that both variables are generally significant.
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The authors construct a computational model of Tiebout competition and show that political institutions differ in their ability to sort citizens effectively. In particular, they find that certain types of institutions–those that become more 'politically unstable' as citizen heterogeneity increases–perform relatively poorly given a single jurisdiction, yet these same institutions perform relatively well when there are multiple jurisdictions. The authors provide an explanation for this phenomenon which draws upon simulated annealing, a discrete nonlinear search algorithm. Copyright 1997 by American Economic Association.
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In a duopoly model of informed speculation, the authors show that overconfidence may strictly dominate rationality since an overconfident trader may not only generate higher expected profit and utility than his rational opponent but also higher than if he were also rational. This occurs because overconfidence acts like a commitment device in a standard Cournot duopoly. As a result, for some parameter values the Nash equilibrium of a two-fund game is a prisoner's dilemma in which both funds hire overconfident managers. Thus, overconfidence can persist and survive in the long run.
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Recent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run-up in the year prior to the offering. This article documents that the operating performance of issuing firms shows substantial improvement prior to the offering but then deteriorates. The multiples at the time of the offering, however, do not reflect an expectation of deteriorating performance. Issuing firms are disproportionately high-growth firms but issuers have much lower subsequent stock returns than nonissuers with the same growth rate.
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Using 947 acquisitions during 1970-89, this article finds a relationship between the postacquisition returns and the mode of acquisition and form of payment. During a five-year period following the acquisition, on average, firms that complete stock mergers earn significantly negative excess returns of -25.0 percent whereas firms that complete cash tender offers earn significantly positive excess returns of 61.7 percent. Over the combined preacquisition and postacquisition period, target shareholders who hold on to the acquirer stock received as payment in stock mergers do not earn significantly positive excess returns. In the top quartile of target to acquirer size ratio, they earn negative excess returns.
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Exchange economies were created in which individuals faced losses. If people are risk seeking in the losses, as predicted by prospect theory, then due to the nonconvexity, the competitive equilibria are all on the boundaries of the Edgeworth box. The experimental results are that risk-seeking behavior is observed in many people and appears in markets as predicted. In addition, market behavior is consistent with answers to hypothetical questionnaires. Contrary to prospect theory, risk seeking seems to diminish with experience: preferences in the market setting are not labile; and risk-seeking preferences are not simply a result of framing effects. Copyright 1997 by American Economic Association.
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