Core-stable rings in second price auctions with common values

In a common value auction in which the information partitions of the bidders are connected, all rings are core-stable. More precisely, the ex ante expected utilities of rings, at the (noncooperative) sophisticated equilibrium proposed by Einy et al. [Einy, E., Haimanko, O., Orzach, R., Sela, A., 2002. Dominance solvability of second-prices auctions with differential information. Journal of Mathematical Economics 37, 247–258], describe a cooperative games in characteristic function form, in spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function is not empty. Furthermore, every ring can implement its sophisticated equilibrium strategy by means of an incentive compatible mechanism. An example shows that, if the bidders’ information partitions are not connected, rings may no longer be core-stable.     

An experimental study of signaling in auctions with a flexible reserve price

This paper presents the results of an experimental study of preemptive jump bidding in English auctions with a flexible reserve price. While one of the possible explanations for jump bidding is based on signaling arguments, the ability of the seller to adjust his decision to accept an offer based on the bidding history makes the existence of a signaling equilibrium questionable. This paper shows that the seller's ability to set the reserve price after observing the opening bid reduces both jump bidding behavior and the use and interpretation of opening bids as a signaling device.     

Bootstrap validity for the score test when instruments may be weak

It is well-known that size adjustments based on bootstrapping the t$t$-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof that guarantees the validity of the bootstrap for the score statistic. This theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the instruments are uncorrelated with the explanatory variable.     

Sprumont's characterization of the uniform rule when all single-peaked preferences are admissible

Sprumont (1991) has established that the only allocation rule for the division problem that is strategy-proof, efficient, and anonymous is the uniform rule when the domain is the set of all possible profiles of continuous single-peaked preferences. Sprumont's characterization of the uniform rule is shown to hold on any larger domain of single-peaked preferences. Received: 15 December 1998 / Accepted: 12 April 1999     

“Whatever it takes” may not be enough

• ▀ Concerns over risks to the global economy from actual and perceived limits to fiscal and monetary policy are well-founded. A decade on from the global financial crisis, evidence highlights chronic demand deficiency, related weakness in supply and a prolonged period of underperformance among the most policy-constrained advanced economies. All lie within the eurozone.
• ▀ To gauge the risks from such policy constraints, we model a broadening of the eurozone slowdown. Despite the ECB's commitment to mitigate adverse cyclical developments, we find that - in the absence of significant accompanying fiscal support - a period of protracted eurozone weakness would ensue.
• ▀ The implications are far-reaching. Our analysis suggests that such a protracted eurozone slowdown would spill over globally, taking 0.4ppts off average global growth over the next five years.

     

Co-movement in the price of risk of aggregate equity markets

This paper examines the issue of co-movement in G7 equity markets. Earlier research in this area has focussed on the first or the second moment of the return process from different markets. The approach in this paper takes the analysis to a finer level to examine the co-movement between these markets. The price of risk from the equity market is inferred in an unobserved component modelling framework to study the co-movement using a non-parametric measure of association, concordance. The findings of this paper also indicate that the price of risk is more important than volatility in explaining movements in excess return.     

The nonlinear price dynamics of U.S. equity ETFs

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in valuations, we report the impact of non-classical variables including price trend and volatility using data from 2008 to 2011. We find a cubic nonlinearity in the trend suggesting that traders are not only aware of the underreaction of others, but also self-optimize by anticipating others’ reactions, and sell when the uptrend is stronger than usual.     

Existence of equilibria in atomless production economies with price dependent preferences

The existence of a competitive equilibrium for an economy with a measure space of agents is proved by reducing the economy to a three-person game and then applying Debreu's lemma (1952). In addition to the relative simplicity and shortness of the proof, we generalize known results [Aumann (1966), Hildenbrand (1970), Schmeidler (1969)] by allowing both price dependent preferences and satiation.     

The two stages of an equity carve-out and the price response of parent and subsidiary stock

This paper provides evidence that an equity carve-out is usually the first stage of a two-stage process either to dispose of parent interest in a subsidiary or eventually re-acquire the subsidiary's publicly traded snares. Both the initial carve-out announcement and subsequent sell-off announcement yield, on average, significantly positive abnormal returns to parent shareholders. In contrast, the parent's price response to a re-acquisition of subsidiary shares is, on average, insignificantly positive. Both sell-off and re-acquisition announcements have a strong positive impact on subsidiary share prices. These gains, however, are offset by the subsidiaries' below-average return performance preceding the second event.     

Implementation of solutions to the problem of fair division when preferences are single-peaked

We consider the problem of fairly allocating an infinitely divisible commodity among a group of agents with single-peaked preferences. We address the issue of (Nash)-implementability of solutions to this problem. As the lack of monotonicity of preferences often causes solutions to violate no veto power, the classic Maskin-type theorems cannot be invoked. Instead, we show that more powerful theorems due to Danilov-Yamato and Sjöström can help settle implementation questions for most of the central fairness concepts, generally in the positive.     

On the existence of an increasing symmetric equilibrium in (k + 1)-st price common value auctions

In a classical result, Milgrom (1981a) established that the Monotone Likelihood Ratio Property (MLRP) is a sufficient condition for the existence of an increasing symmetric equilibrium in (k + 1)-st price common value auctions. We show: (1) If MLRP is violated, then for any number of bidders and objects there exists a distribution of the common value such that no increasing symmetric equilibrium exists; (2) If MLRP is violated, then for any distribution of the common value there exist infinitely many pairs of the number of bidders and the number of objects such that an increasing symmetric equilibrium does not exist; (3) There are examples where an increasing symmetric equilibrium exists even when the signal distribution violates MLRP.     

Change your performance measurements of there may be no future

Performance measurements help to define and promote desired behaviors, activities, and attitudes within an organization. The "right" behavior must be consistent with and supportive of the strategies an organization has adopted to move it toward its preferred future. There must be vertical and horizontal integration of all performance measures to support consistent activities at all levels and in all functions. In today's world of rapid change and greater reliance on teams, there must be recognition of both individual performance and a new set of measurements to promote teamwork.     

数据处理通用指南统计实践者应作团队成员,而不是魔法师

我作为应用统计师已经多年了.在我所接触的各个行业或项目中,我得到的最常见的请求是:"我需要多大的样本量?"该问题通常比较简单,但不是所有的时候都如此.     

油价改革：照顾哪头才算对？

油价的改革不是简单把加油站的价签一换就完了,到底要照顾哪一头,恐怕还得慢慢摸索一阵呢     

Rank-ordered logit models: An empirical analysis of Ontario voter preferences

This study provides a Bayesian investigation of rank-ordered multinominal logit models employing conjugate priors for standard multinomial logit models as well as other priors. Also considered is a specification test of the independence of irrelevant alternatives assumption. The proposed techniques are demonstrated in an empirical investigation of Ontario voter preferences before the 1988 Canadian Federal Election.     

Properties of shrinkage estimators in linear regression when disturbances are not normal

This paper considers a class of recently developed biased estimators of regression coefficients and studies its sampling properties when the disturbances are not normally distributed. It has been found that the conditions of dominance of these estimators over the least squares estimator, under non-normality, are quite different than their well-known dominance conditions under normality. Some implications of the results are also discussed.     

别让第一桶金成为最后一桶金

在中国的一些行业,比如保健品、房地产等行业,大多数企业为了先掘到第一桶金,宁肯先放弃品牌.尤其是一些小企业,由于他们面临的首要问题是如何生存和迅速做大,因此不得不采用价格战甚至不择手段来经营.对此,整合营销传播之父唐·E·舒尔茨敲响了警钟:对于不重视整合营销传播的企业来说,存在的一个危险就是"你的第一桶金,可能也是你的最后一桶金".