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1.
Contractual restrictions on insider trading: a welfare analysis 总被引:4,自引:0,他引:4
Antonio E. Bernardo 《Economic Theory》2001,18(1):7-35
Summary. This paper analyzes the welfare effects of permitting firms to negotiate contractually the right to allow corporate insiders
to trade shares in the firm on private information. A computational framework is employed to (i) analyze formally the effects
of insider trading on managerial investment choice, the informational efficiency of stock prices, and the welfare of all investor
types; and (ii) examine the effectiveness of various compensation schemes (such as stock and insider trading rights) to mitigate
conflicts of interest between managers and shareholders. I show that shareholders will typically choose not to grant insider
trading rights to managers. This decision is socially optimal.
Received: September 23, 2000; revised version: December 12, 2000 相似文献
2.
Steffen Brenner 《European Economic Review》2011,55(2):293-303
We examine changes in the compensation of CEOs of German firms after the prohibition of insider trading (IT) in 1994 to test whether IT is a relevant compensation device. While we find that the performance elasticity of explicit CEO pay slightly increases subsequent to the IT law adoption for non-financial firms indicating an incentive-substitution effect, the overall change in levels seems modest. We explore the hypothesis that compensation for forgone IT profits in general is small because typically, firms lack at least one of the two necessary conditions for profitable IT: the existence of a liquid stock market imposing low costs of transactions and the presence of a small number of co-insiders, preventing the information rent to be competed away. Based on a difference-in-difference estimation, we indeed find that explicit pay increases more strongly for intensely traded firms and decreases for non-financial firms and insurance companies with a higher number of co-insiders. The combined effect is relatively small except for firms with the most liquid shares. 相似文献
3.
We develop a model which can help in explaining the evolving regulatory regime around insider trading. We form a simple sequential game-theoretical model of insider trading transactions and, utilizing Monte Carlo simulation to determine equilibrium, we show that costly investigations and low penalties incentivize traders to engage in illegal transactions. While the model helps to explain stiffer action by regulatory bodies, the question remains as to whether the elevated penalty levels are sufficient to prevent further insider trading. 相似文献
4.
Summary. In models of active learning or experimentation, agents modify their actions to affect the distribution of a signal that
provides information about future payoffs. A standard result in the experimentation literature is that agents experiment,
if at all, to increase information. This finding is a direct consequence of Blackwell's theorem: one experiment is more informative than another
if and only if all expected utility maximizers prefer to observe the first. Blackwell's theorem presupposes, however, that
the observed signal only conveys information and does not directly affect future payoffs. Often, however, signals are directly
payoff relevant, a phenomenon that we call signal dependence. For example, if a firm is uncertain about its demand and uses today's sales as a signal of tomorrow's demand, then that
signal may also directly affect tomorrow's profit if the good is durable or if consumers form consumption habits. Datta, Mirman and Schlee [9] and
Bertocchi and Spagat [4] show that, if the signal is payoff relevant, experimentation may indeed reduce information. Here
we show that, despite the inapplicability of Blackwell's Theorem, agents always experiment to increase information if the
information structure is noiseless: given the true value of the unknown parameter, the signal realization is deterministic. We then apply our framework to analyze
Lazear's [16] model of retail clearance sales, a model with both signal dependence and noiseless information.
Received: February 19, 1999; revised version: August 11, 1999 相似文献
5.
Tito Pietra 《Economic Theory》2001,18(3):649-659
Summary. I consider the set of equilibria of two-period economies with S extrinsic states of nature in the second period and I assets
with linearly independent nominal payoffs. Asset prices are variable. If the number of agents is greater than (S-I), the payoff
matrix is in general position and S 2I, the set of equilibrium allocations generically (in utility function space) contains a smooth manifold of dimension (S-1).
Moreover, the map from states o
f nature to equilibrium allocations (restricted to this manifold) is one-to-one at each equilibrium.
Received: February 23, 1998; revised version: June 1, 2000 相似文献
6.
Summary. This paper introduces the framework of rational beliefs of Kurz (1994), which makes the assumptions of heterogeneous beliefs
of Harrison and Kreps (1978) and Morris (1996) more plausible. Agents hold diverse beliefs that are “rational” in the sense
of being compatible with ample observed data. In a non-stationary environment the agents only learn about the stationary measure
of observed data, but their beliefs can remain non-stationary and diverse. Speculative trading then stems from disagreements
among traders. In a Markovian framework of dividends and beliefs, we obtain analytical results to show how the speculative
premium depends on the extent of heterogeneity of beliefs. In addition, we demonstrate that there exists a unique Rational
Belief Equilibrium (RBE) generically with endogenous uncertainty (as defined by Kurz and Wu, 1996) and that the RBE price
is higher than the rational expectation equilibrium price (REE) under some general conditions
Received: March 15, 2001; revised version: April 26, 2002
RID="*"
ID="*" We are deeply grateful to Mordecai Kurz for his constant encouragement and inspiring guidance over the years. We wish
to express our gratitude to an anonymous referee for the very valuable comments provided. We also thank Kenneth Arrow, Peter
Hammond, Roko Aliprantis and Nicholas Yannelis for their helpful suggestions and Academia Sinica and the National Science
Council of the R.O.C. for their indispensable support.
Correspondence to: H.-M. Wu 相似文献
7.
Felix Kubler 《Economic Theory》2001,18(1):73-96
Summary. There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give
a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs
or other market frictions introduce the additional difficulty that equilibrium prices or choices (but not equilibrium allocations)
may be undetermined. In order to demonstrate how these difficulties can be dealt with, we develop a globally convergent algorithm
to compute equilibria in a model with cash-in-advance constraints, several goods and incomplete financial markets. Furthermore
we describe how to implement the algorithm using a publicly available suite of subroutines for homotopy-pathfollowing.
Received: October 1, 1999; revised version: December 16, 2000 相似文献
8.
Summary. This paper attemps to rationalize the use of insurance covenants in financial contracts, and shows how external financing
generates a demand for insurance by risk-neutral entrepreneurs. In our model, the entrepreneur needs external financing for
a risky project that can be affected by an accident during its realization. Accident losses and final returns are private
information to the firm, but they can be evaluated by two costly auditing technologies. We derive the optimal financial contract:
it is a bundle of a standard debt contract and an insurance contract with franchise, trading off bankruptcy costs vs auditing
costs. We then analyze how this optimal contract can be achieved by decentralized trading on competitive markets when insurance
and credit activities are exogenously separated. With additive risks, the insurance contract involves full coverage above
a straight deductible. We interpret this result by showing how our results imply induced risk aversion for risk-neutral firms.
Received: December 14, 1998; revised version: August 11, 1999 相似文献
9.
Yves Balasko 《Economic Theory》2003,21(1):1-18
Summary. In a two-period pure exchange economy with financial assets, a temporary financial equilibrium is an equilibrium of the current
spot and security markets given forecast functions of future prices and payoffs. The temporary equilibrium model can then
be interpreted as an Arrow-Debreu economy where preferences depend on prices. This identification implies, among other consequences,
the existence and the generic determinateness of the financial temporary equilibria associated with given forecast functions.
Received: December 29, 1999; revised version: December 20, 2001 相似文献
10.
Pamela Labadie 《Economic Theory》1998,12(3):621-648
Summary. Private information and costly state verification often result in credit rationing in models with smooth investment, affecting
both loan size and total investment. The optimal contract is derived in a dynamic stochastic growth model with capital for
two types of models: one with symmetric information and the other with asymmetric information and costly state verification.
When all information is observed costlessly, the equilibrium optimal contract provides complete insurance to risk-averse savers
against aggregate fluctuations. When information is asymmetric and there is costly state verification, the equilibrium optimal
contract provides only partial insurance against aggregate shocks. The extent of insurance is measured by the marginal rate
of transformation of consumption between borrowers and lenders which is closely linked to the user cost of capital. The deadweight
monitoring costs create a wedge between a borrower's cost of capital and a lender's stochastic discount factor, with two results:
(i) fluctuations in the user cost of capital provides a mechanism by which aggregate shocks can be␣propagated; (ii) the distribution
of capital's share of output among borrowers, lenders, and monitoring costs varies even if capital's share is constant. Capital
market frictions not only amplify aggregate fluctuations but also generate cross-sectional fluctuations that may not be observable
in aggregate data.
Received: November 17, 1997; revised version: April 20, 1998 相似文献
11.
Summary. In this paper, we develop an endogenous growth model with market regulations on explicitly modeled financial intermediaries
to examine the effects of alternative government financing schemes on growth, inflation, and welfare. In the presence of binding
regulation, there is always a unique equilibrium. We perform four alternative policy experiments; a change in the seigniorage
tax rate, a change in the seigniorage tax base, a change in the income tax and a change in the fiscal-monetary policy mix.
We find that in the presence of binding legal reserve requirements, a marginal increase in government spending need not result
in a reduction in the rate of economic growth if it is financed with an increase in the seigniorage tax rate. Raising the
seigniorage tax base by means of an increase in the reserve requirement retards growth and it has an ambiguous effect on inflation.
An increase in income tax financed government spending also suppresses growth and raises inflation although not to the extent
that the required seigniorage tax rate alternative would. Switching from seigniorage to income taxation as a source of government
finance is growth reducing but deflationary. From a welfare perspective, the least distortionary way of financing an increase
in the government spending requirements is by means of a marginal increase in the seigniorage tax rate. Under the specification
of logarithmic preferences, the optimal tax structure is indeterminate.
Received: March 20, 2000; revised version: June 26, 2001 相似文献
12.
Summary. This incorporates a debt contracting problem with asymmetric information into a standard monetary business cycle model. The
model incorporates a limited participation assumption in order to induce a liquidity effect of monetary shocks and propagate
monetary disturbances. The model economy shows that a positive money supply shock generates a decrease in nominal interest
rates and an increase in output level. Asymmetric information amplifies the response of capital to the money supply shock,
but does not propagate them in other ways. When the monetary shock is an innovation in reserve requirements, it induces a
persistent response of the economy.
Received: March 20, 1998; revised version: 1 April 1998 相似文献
13.
Jean-Marc Bottazzi 《Economic Theory》2002,20(1):67-82
Summary. In a multiperiod economy with incomplete markets and assets with payoff depending on the price history (e.g., asset and derivatives),
we show that in order to get endowment generic existence of an equilibrium it is not needed to alter settlement features such
as when payments are made and when the asset is traded. This is non-trivial as each such characteristic introduces a non-generic
subclass of financial instruments. We show essentially that expiry date payments are the only payments that one needs perturbing
(if at all). For previous periods - the P&L discovery map - is the one relevant for wealth transfers. This map transfers wealth
between one period and the next by associating to each portfolio next period potential profit and losses as a function of
the revealed information at the node. All present values involved can in general - because of backward induction pricing structure
- be appropriately controlled via expiry payoffs only. This enables us to extend two-period work and introduce Transverse
Financial Structures for multiperiod economies, where one cannot identify the payoffs of financial instruments to the P&L
discovery map (in other words we introduce some financial ingeneering for Transverse Financial Structures). We capitalize
on that difference using unexploited “maturity payout degrees of freedom” and rolling back the uncertainty tree. As an application
of this approach we prove a conjecture by Magill and Quinzii that commodity forward contracts lead to endowment generic existence
of an equilibrium in a multiperiod set-up.
Received: June 25, 1999; revised version: April 4, 2001 相似文献
14.
2007年新会计准则出台后,交易性金融资产的会计处理越加规范和细致,伴随而来的是交易性金融资产财税处理的差异性。交易性金融资产会计处理的要点是什么?不同的会计处理会带来什么样的财税差异?这些问题都是值得探析的课题。 相似文献
15.
Equilibrium in a decentralized market with adverse selection 总被引:2,自引:0,他引:2
Max R. Blouin 《Economic Theory》2003,22(2):245-262
Summary. This paper deals with trade volume and distribution of surplus in markets subject to adverse selection. In a model where
two qualities of a good exist, I show that if trade is decentralized (i.e. conducted via random pairwise meetings of agents),
then all units of the good are traded, and all agents have positive ex-ante expected payoffs. This feature is present regardless
of the quality distribution, and persists in the limit as discounting is made negligible. This offers a sharp contrast to
models of centralized trade with adverse selection (Akerlof, Wilson).
Received: April 2, 2001; revised version: March 29, 2002
RID="*"
ID="*" This research was funded by a grant from UQAM. I wish to thank Roberto Serrano and seminar participants at UQAM, Queen's
University at Kingston, the 2001 CEME General Equilibrium Conference (Brown University), and the 2001 North American Summer
Meeting of the Econometric Society (University of Maryland) for comments. 相似文献
16.
Summary. We develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures of
illiquidity and show how these measures behave. We also show that the equilibrium amount of search may be less than, equal
to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid assets
are fair games if returns are defined to include the appropriate shadow prices.
Received: June 25, 2000; revised version: October 24, 2000 相似文献
17.
Summary. We provide a characterization of participants' behavior in a contest or tournament where the marginal productivity of effort
varies across contestants and individual productivity is private information. We then consider the optimal design of such
a contest.
We first analyze contestant behavior for the usual type of contest, where the highest output wins. Abilities need not be independently
distributed. We demonstrate that there is a unique symmetric equilibrium output function, that output is increasing in ability,
and that marginal effort is increasing in ability, while effort decreases when the cost of effort increases.
Next we consider the case where the highest output need not win, with independently distributed abilities. We analyze the
contest designer's decisions in choosing contest rules optimal from her perspective. We show that the output produced, probability
of winning, and contest designer's expected revenue are generally increasing in contestants' ability. We examine the relationship
between the marginal cost of producing output and marginal utility per dollar of the net award for winning.
Received: July 30, 1998; revised version: August 7, 2000 相似文献
18.
Summary. The paper investigates the nature of market failure in a dynamic version of Akerlof (1970) where identical cohorts of a durable
good enter the market over time. In the dynamic model, equilibria with qualitatively different properties emerge. Typically,
in equilibria of the dynamic model, sellers with higher quality wait in order to sell and wait more than sellers of lower
quality. The main result is that for any distribution of quality there exist an infinite number of cyclical equilibria where all goods are traded within a certain number of periods after entering the market.
Received: December 21, 2000; revised version: September 5, 2001 相似文献
19.
Tetsuya Shimokawa 《Economic Theory》2000,16(1):199-208
Summary. It is expected that every periodic equilibrium path may exist even under standard assumptions such as low discounting and
the concavity of utility functions in infinite horizon models with external effects. Nevertheless, until now no such example
has been presented. In this note we will first construct a bounded growth model that has an external effect and every periodic
equilibrium path under any discount factor. Next we will study the conditions under which periodic equilibrium paths have
a local indeterminacy.
Received: December 23, 1998; revised version: April 19, 1999 相似文献
20.
Frederic Palomino 《Economic Theory》2001,18(3):683-700
Summary. The paper studies informational properties of three types of imperfectly competitive markets: a one-signal speculative market
(OSS market) in which agents have only private information about the fundamental value (v) of the risky asset traded, a two-signal speculative market (TSS market) in which agents have private information about both
v and the asset supply, and a market in which agents are endowed with both information about v and shares of the risky asset traded. In this last market (JA market), agents have joint activities: they trade for both
speculative and hedging purposes. It is shown that (i) the JA market and the OSS market are the most and the least efficient, respectively, and (ii) the levels of informational efficiency in the three markets are inversely correlated with the intensities with which traders
use their private information about the fundamental value of the asset.
Received May 28, 1999; revised version: May 28, 1999 相似文献