Evolutionary choice of markets

We consider an economy where a finite set of agents can trade on one of two asset markets. Due to endogenous participation the markets may differ in the liquidity they provide. Traders have idiosyncratic preferences for the markets, e.g.due to differential time preferences for maturity dates of futures contracts. For a broad range of parameters we find that no trade, trade on both markets (individualization) as well as trade on one market only (standardization) is supported by a Nash equilibrium. By contrast, whenever the number of traders becomes large, the evolutionary process selects a unique stochastically stable state which corresponds to the equilibrium with two active markets and coincides with the welfare maximizing market structure. We are grateful to Thorsten Hens, Fernando Vega-Redondo and a referee for valuable comments. We also thank seminar participants at the University of Zurich, the CES research seminar at the University of Munich, the Koc University in Istanbul as well as conference participants at the SAET conference in Ischia, the ESEM in Lausanne and the ESF workshop on Behavioural Models in Economics and Finance in Vienna. A first version of the paper was written while Marc Oliver Bettzüge was visiting the Institute for Empirical Research in Economics at the University of Zurich. Financial Support by the Swiss Banking Institute and by the National Centre of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK) is gratefully acknowledged. The NCCR FINRISK is a research program supported by the Swiss National Science Foundation.     

A monetary vector error correction model of the Euro area and implications for monetary policy

In this paper, a vector error correction model for Euro area money, prices, output, long-term interest rate and short-term interest rate with three identified cointegration relations is specified. It is shown that Euro area money and prices can be considered as variables that are integrated of order two or I(2), that is, they have to be differenced twice to become stationary. Accordingly, the relation between money, prices and other macroeconomic variables is analyzed in an econometric framework which is suited for the analysis of I(2)-variables. Monetary policy implications are derived from the estimated system.First revision received: May 2002/Final revision received: May 2003I thank Helmut Lütkepohl, Jürgen Wolters, and two anonymous referees for helpful comments. Financial support from the Deutsche Forschungsgemeinschaft (SFB 373) is gratefully acknowledged.     

Entrepreneurship and the Division of Ownership in New Ventures

The current study investigates a tripartite incentive contract between an innovator supplying an intellectual asset, a professional assigned to productive tasks, and a consulting firm specializing in matching ideas and professional skills. A rather simple pure tripartite partnership implements the consultant's expected profit maximum and maximizes the project's expected surplus. The liquidity-constrained professional is compensated by receiving a share of one half in the new venture. The consultant's and the innovator's shares reflect the relative value of search. However, the consultant's optimal search effort to find an appropriate production partner is inefficiently low .     

Neuroökonomie: Grundverständnis,Methoden und betriebswirtschaftliche Anwendungsfelder

At present, economic and business research is increasingly applying insights and methods from neuroscience in order to describe and explain certain conditions and processes within the “black box” human brain prior to, during, and after economic decision making in greater detail. This article aims at clarifying the fundamentals of the emerging field of neuroeconomics, at characterizing the applied methods, at describing neuroeconomic progress in business research, and at discussing the present state of the field. In doing so, the objective is to make neuroeconomics accessible to a greater number of business researchers.     

Risk Shift Following Dividend Change Announcement: The Role of Trading Volume

This study investigates the role of the trading volume in explaining the shift of firm's total and systematic risk when a dividend change is announced. We compared the differential interpretation hypothesis and pre-announcement disagreement hypothesis with more than 20,000 samples collected for 30 years. We found that the total risk generally increases regardless of the level of abnormal trading volume, which supports the differential interpretation hypothesis. We also found a positive relationship between announcement-period abnormal trading volume and post-announcement changes in beta, which is only consistent with the differential interpretation hypothesis. However, the decrease in beta for the majority of sample firms is only consistent with the pre-announcement disagreement hypothesis.