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1.
Summary In this paper we consider Anonymous Sequential Games with Aggregate Uncertainty. We prove existence of equilibrium when there is a general state space representing aggregate uncertainty. When the economy is stationary and the underlying process governing aggregate uncertainty Markov, we provide Markov representations of the equilibria.Table of notation
Agents' characteristics space ( )
- A
Action space of each agent (aA)
-
Y
Y = x A
-
Aggregate distribution on agents' characteristics
-
(X)
Space of probability measures onX
-
C(X)
Space of continuous functions onX
-
X
Family of Borel sets ofX
-
State space of aggregate uncertainty ( )
-
x
t=1
aggregate uncertainty for the infinite game
-
= (1,2,...,t,...)
-
t
t (1, 2,..., t)
- L1(t,C ×A),v
t
Normed space of measurable functions from
t
toC( x A)
-
8o(t,( x A))
Space of measurable functions from
tto( x A)
- Xt
Xt= x
s=1
t
X
-
X
t
Borel field onX
t
-
v
Distribution on
- vt
Marginal distribution of v on
t
- v(t)((¦t))
Conditional distribution on
given
t
- vt(s)(vt(¦s))
Conditional distribution on
t
given
s
(wheres)
-
t
Periodt distributional strategy
-
Distributional strategy for all periods =(1,2,...,t,...)
-
t
Transition process for agents' types
- (
t,t,y)(P
t+1(,
t
,
t
,y))
Transition function associated with
t
-
u
t
Utility function
-
V
t
(, a, , t)
Value function for each collection (, a, ,
t
)
-
W
t
(, ,
t
)
Value function given optimal action a
-
C()
Consistency correspondence. Distributions consistent with and characteristics transition functions
-
B()
Best response correspondence (which also satisfy consistency)
-
E
Set of equilibrium distributional strategies
-
x
t=1
(
t
, (x A))
- S
Expanded state space for Markov construction
- (, a, )
Value function for Markov construction
-
P(
t
*
,
t
y)(P(,
t
*
,
t
,
y
))
Invariant characteristics transition function for Markov game
We wish to acknowledge very helpful conversations with C. d'Aspremont, B. Lipman, A. McLennan and J-F. Mertens. The financial support of the SSHRCC and the ARC at Queen's University is gratefully acknowledged. This paper was begun while the first author visited CORE. The financial support of CORE and the excellent research environment is gratefully acknowledged. The usual disclaimer applies. 相似文献
2.
This paper examines whether firms manage analyst forecasts andthe associated value consequences. We find that earnings forecaststend to grow pessimistic over the forecast horizon and theseforecast changes and their timing are key determinants of whetherfirms generate positive earnings surprises: Late forecasts thatraise (lower) the consensus sharply reduce (raise) the probabilityof positive surprises. This findng is the opposite of that predictedif consensus revisions reflected new information arrival. Investorsseem to be "misled": downward consensus revisions lead to largeabnormal returns following the earnings announcement. Paradoxically,downward forecast management reduces post-announcement shareprice, as the impact of reduced forecasts dominates the gainfrom generating positive surprises. 相似文献
3.
We investigate how discretionary investments in general and specific human capital are affected by the possibility of layoffs. After investments are made, firms may have to lay off workers, and will do so in inverse order of the profit that each worker generates. Greater skill investments, especially in specific human capital, contribute more to a firm's bottom line, so that workers who make those investments will be laid off last. We show that as long as workers' bargaining positions are not too weak, workers invest in specific human capital in order to reduce layoff probabilities. Indeed, workers over‐invest in skill acquisition from a social perspective whenever their bargaining power is strong enough, even though they only receive a share of any investment. More generally, we characterize how equilibrium skill investments are affected by the distribution of worker abilities within firms, the probability that a firm will downsize, and the distribution of employment opportunities in the economy. 相似文献
4.
We develop a method for solving for equilibrium outcomes in stationary strategic settings in which speculators are informationally
large and understand how their actions affect the information content of prices. This allows us to characterize speculation
by institutional investors who receive private long-lived information on a recurring basis, and trade strategically. When
the underlying asset value process has a stationary autoregressive structure, we develop a contraction mapping argument to
solve for the stationary linear equilibrium. We derive analytically and numerically how the characteristics of private information—its
quantity, persistence and correlation, and division among speculators—affect trading profits, pricing and trading strategies.
Our central finding is that what matters for equilibrium outcomes are the most recent signals that speculators receive. Speculators
trade so much more aggressively on new information than old that the bulk of their profits come from their two or three most
recent private signals. Trading on past prices drops off faster yet; effectively only the most recent price matters. 相似文献
5.
How should countries defend against committed terrorists who attack until defeated? We identify a fundamental non-convexity—one only needs to defeat the terrorist once. Consequently, provided a country values targets similarly, it should conceal defenses and allocate defense resources randomly. 相似文献
6.
Dan Bernhardt Larissa Campuzano Francesco Squintani Odilon Cmara 《Games and Economic Behavior》2009,66(2):685
We study the role of parties in a citizen-candidate repeated-elections model in which voters have incomplete information. We first identify a novel “party competition effect” in a setting with two opposing parties. Compared with “at large” selection of candidates, party selection makes office-holders more willing to avoid extreme ideological stands, and this benefits voters of all ideologies. We then allow for additional parties. With strategic voting, citizens benefit most when the only two parties receiving votes are more moderate. With sincere voting, even with three parties, extreme parties can thrive at the expense of a middle party; and whether most citizens prefer two or three parties varies with model parameters. 相似文献
7.
We characterize a duopoly buffeted by demand and cost shocks. Firms learn about shocks from common observation, private observation, and noisy price signals. Firms internalize how outputs affect a rival's signal, and hence output. We distinguish how the nature of information —public versus private—and of what firms learn about—common versus private values—affect equilibrium outcomes. Firm outputs weigh private information about private values by more than common values. Thus, prices contain more information about private‐value shocks. 相似文献
8.
A major shortcoming of the classical median voter model is that its central prediction — convergence of platforms to the median voter's ideal — is seldom observed. One reason is that the classical model neglects the importance of voter expectations as a determinant of votes. Here we associate voters' expectations about candidates with past as well as current candidate pronouncements, and assume that incumbents whose actions are consistent with their ‘reputations’ are perceived as less risky than challengers. In equilibrium candidates choose distinct platforms. Typically neither adopts the median voter's ideal point. Either candidate may win depending on how well the incumbent's reputation reflects current voter tastes and how relatively ‘risky’ the electorate perceives the challenger to be. 相似文献
9.
Splitting orders 总被引:1,自引:0,他引:1
A standard presumption of market microstructure models is thatcompetition between risk-neutral market makers inevitably leadsto price schedules that leave market makers zero expected profitsconditional on the order flow. This article documents an importantlack of robustness of this zero-profit result. In particular,we show that if traders can split orders between market makers,then market makers set less-competitive price schedules thatearn them strictly positive profits and hence raise tradingcosts. Thus, this article can explain why somebody might willinglymake a market for a stock when there are fixed costs to doingso. The analysis extends to a limit order book, which by itsnature is split against incoming market orders: equilibriumlimit order schedules necessarily yield those agents positiveexpected profits. 相似文献
10.
We apply the concept of strategic groups to the German reinsurance market. We use a cluster analysis to subdivide reinsurance companies into strategic groups and analyze the effect of a set of strategic choice variables on their performance. Furthermore, we examine the impact of the financial crisis of 2008 on the reinsurance sector. Our dataset encompasses 142 firm-year observations for the years 2004 until 2012. Our results indicate the existence of three strategic groups in the German reinsurance market. Moreover, we find that most strategic choice variables that characterize the individual strategic groups affect the reinsurers’ level of performance. Finally, we find that the reinsurers’ performance increased in the aftermath of the financial crisis. This holds in particular for professional reinsurance companies. 相似文献