Risk, uncertainty, and option exercise

Many economic decisions can be described as an option exercise or optimal stopping problem under uncertainty. Motivated by experimental evidence such as the Ellsberg Paradox, we follow Knight (1921) and distinguish risk from uncertainty. To capture this distinction, we adopt the multiple-priors utility model. We show that the impact of ambiguity on the option exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs. Consequently, ambiguity may accelerate or delay option exercise. We apply our results to investment and exit problems, and show that the myopic NPV rule can be optimal for an agent having an extremely high degree of ambiguity aversion.     

On the optimal taxation of common-pool resources

Recent research developments in common-pool resource models emphasize the importance of links with ecological systems and the presence of non-linearities, thresholds and multiple steady states. In a recent paper Kossioris et al. (2008) develop a methodology for deriving feedback Nash equilibria for non-linear differential games and apply this methodology to a common-pool resource model of a lake where pollution corresponds to benefits and at the same time affects the ecosystem services. This paper studies the structure of optimal state-dependent taxes that steer the combined economic-ecological system towards the trajectory of optimal management, and provides an algorithm for calculating such taxes.     

投标人平行串谋与最优公开保留价博弈分析

本文将投标人平行串谋问题与招标人公开保留价定价策略相结合,研究了第二价格密封招标方式下投标串谋联盟的串谋报价及利润分配机制,分析了串谋联盟的存在对非串谋联盟中成员的投标策略和期望利润的影响,揭示了串谋联盟成员人数与串谋联盟总收益之间的关系,探讨了招标人公开保留价定价策略、串谋联盟成员人数与招标公开保留价之间的关系,指出了招标人应通过降低公开保留价的方式来防止或减少投标人平行串谋行为的发生。     

版权保护期限优化设计实证研究——基于56个国家和地区的数据分析

版权保护具有时间限制,这是世界各国的立法通例,也是版权法平衡作者个人利益和社会公共利益的一种必要手段。本文对56个国家和地区的版权保护期限与版权贸易的关系进行了实证分析,结果显示,版权保护期限随着版权贸易的增加起初提高然后降低,两者呈倒U型关系,此拐点的人均创意及其相关产业物品进出口贸易额为4233．074美元,版权保护期限为72．386年。     

Generalised Rational Bias in Financial Forecasts

Laster et al. (Q J Econ 114(1):293–318, 1999) built an economic model in which forecasters have incentives to generate forecasts that differ form the consensus. It is shown that the dispersion of the equilibrium distribution of forecasters, depends on the relative importance given on the intensive forecast users’ loss versus the publicity gain from occasional users. These results depend heavily on the assumption of symmetry for the loss and density functions. In this paper we examine the effects of generalising loss preferences and probability densities to allow for asymmetries through the LinEx loss and the Skewed Normal density, respectively. We derive the generalised equilibrium distribution of forecasts which contains the results of Laster et al. as a special case. The presence of asymmetric preferences is shown to cause a movement of the distribution away from the conditional mean, towards the optimal forecast under loss asymmetry. Furthermore, forecasts now tend to cluster around this quantity in an asymmetric way. These effects tend to be further strengthened or partially offset by the presence of skewness in the distribution of data, a result consistent with the conclusions of Christodoulakis (Finan Res Lett 2:227–233, 2005).The author is grateful to an anonymous referee for helpful comments that have improved the paper. The views expressed in the paper are those of the author and should in no part be attributed to the Bank of Greece.     

Stackelberg leadership in a dynamic duopoly with stochastic capital accumulation

I propose a dynamic duopoly model where firms enter simultaneously but compete hierarchically á la Stackelberg at each instant over time. They accumulate capacity through costly investment, with capital accumulation dynamics being affected by an additive shock the mean and variance of which are known. The main findings are the following. First, the Stackelberg game is uncontrollable by the leader; hence, it is time consistent. Second, the leader invests more than the follower; as a result, in the steady state, the leader’s capacity and profits are larger than the follower’s. Therefore, the present analysis does not confirm Gibrat’s Law, since the individual growth rate is determined by the timing of moves.JEL Classification: C61, C73, D43, D92, L13Financial support within the project The post-entry performance of firms: technology, growth and survival lead by Enrico Santarelli, co-financed by the University of Bologna and MIUR, is gratefully acknowledged. I thank Uwe Cantner, Roberto Cellini, Roberto Golinelli, Helen Louri, Enrico Santarelli, Antonello Scurcu, Peter Thompson, two anonymous referees and the audience at the final workshop of the project (Bologna, November 22-23, 2002) for useful comments and discussion. The usual disclaimer applies.     

Retailing in the 21st century: reflections and prologue to research

Retailing in the 21st century will no doubt be very different from retailing in the 20th century, just as retailing in the 20th century was very different from retailing in the 19th century. To understand and explain current retailing phenomena and retailing-related phenomena, and accurately predict such phenomena, it is necessary to have a coherent and consistent definition of retailing as well as comprehensive retailing theories based on this definition. This introduction to the special issue argues for such a definition and related comprehensive theories.     

Optimal vs satisfactory transparency: The impact of global macroeconomic fluctuations on corporate competitiveness

Being able to separate temporary global macroeconomic influences – caused by fluctuations in exchange rates, interest rates and inflation – from intrinsic performance – related to a superior product, production process or management – is crucial to assessing the development of a firm’s competiveness. Against that background, this paper analyzes institutions’ role in making firms supply outside shareholders with relevant information corresponding to satisfactory transparency from the shareholder perspective. Based on a sample of the 100 largest public European firms, it is found that no firm provided information to a level deemed satisfactory by the outside shareholder. One explanation may be that optimal transparency for the firm does not equal satisfactory transparency for the outside shareholder. However, the implementation of IFRS/IAS 1 in the EU as of 2005 and a company’s international cross-listing activities exhibit associations with a better supply of information and a narrowing of the gap. Shareholders in the Anglo-Saxon corporate governance system are provided with more relevant information than those in other corporate governance systems. The paper adds to the literature on the role of institutions in international corporate governance, with a particular focus on information asymmetries in an international business context.