A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 387 resources
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How does quotation transparency affect financial market performance? Biais's irrelevance proposition in 1993 shows that centralized markets yield the same expected bid–ask spreads as fragmented markets, other things equal. However, de Frutos and Manzano demonstrated in 2002 that expected spreads in fragmented markets are smaller and market participants prefer to trade in fragmented markets. This paper introduces liquidity traders' costs of searching for a better quote into the Biais model and derives opposite conclusions to these previous studies: expected spreads in centralized markets are smaller and liquidity traders prefer centralized markets, while market makers prefer fragmented markets.
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This paper suggests a mechanism that describes individuals' positive self-image in subjective assessments of their relative abilities. The mechanism assumes individuals have heterogeneous production functions that determine ability as a function of multiple skills; make skill-enhancing investments with the goal of maximizing their ability; and make ability comparisons using their own production function. Within this framework, the paper provides conditions under which there is positive self-image. Positive self-image is increasing in the ease of the task, the number of different skills needed for the task, and the variability of production technologies in the population.
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Our main goal is to quantify the returns to a career in the United States Congress. We specify a dynamic model of career decisions of a member of Congress and estimate this model using a newly collected dataset. Given estimates of the structural model, we assess reelection probabilities, estimate the effect of congressional experience on private and public sector wages, and quantify the value of a congressional seat. Moreover, we assess how an increase in the congressional wage or the imposition of term limits would affect the career decisions of politicians and the returns from a career in Congress.
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This article takes a shrinkage approach to examine the empirical implications of aversion to model uncertainty. The shrinkage approach explicitly shows how predictive distributions incorporate data and prior beliefs. It enables us to solve the optimal portfolios for uncertainty-averse investors. Aversion to uncertainty about the capital asset pricing model leads investors to hold a portfolio that is not mean-variance efficient for any predictive distribution. However, mean-variance efficient portfolios corresponding to extremely strong beliefs in the Fama–French model are approximately optimal for uncertainty-averse investors. The empirical Bayes approach does not result in optimal portfolios for investors who are averse to model uncertainty.
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We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values. Copyright 2005, Oxford University Press.
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The equilibrium relationship between trade and the spatial distribution of economic activity is fundamental to the analysis of national and regional trade patterns, as well as to the effect of trade frictions. We study this relationship using a trade model with a continuum of regions, transport costs, and agglomeration effects caused by production externalities. We analyze the equilibrium specialization and trade patterns for different levels of transport costs and externality parameters. Understanding trade via the distribution of economic activity in space naturally rationalizes the evidence on border effects and the "gravity equation."
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- Bond (13)
- Mergers and Acquisitions (8)
- CEO (4)
- Director (2)
- Capital Structure (2)
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- Journal Article (387)