排序方式: 共有28条查询结果,搜索用时 15 毫秒
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Jacco J.J. Thijssen 《Journal of Economic Theory》2010,145(6):2448-2462
In this paper a two-player real option game with a first-mover advantage is analyzed, where payoffs are driven by a player-specific stochastic state variable. It is shown that there exists an equilibrium which has qualitatively different properties from those in standard real option games driven by common stochastic shocks. The properties of the equilibrium are four-fold: (i) preemption does not necessarily occur, (ii) if preemption takes place, the rent-equalization property holds, (iii) for almost all sample paths it is clear ex-ante which player invests first, and (iv) it is possible that both players invest simultaneously, even if that is not optimal. It is argued from simulations that real option games with a common one-dimensional shock do not provide a good approximation for games with player-specific uncertainty, even if these are highly correlated. 相似文献
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Jacco J. J. Thijssen 《Annals of Finance》2008,4(4):505-523
This paper analyses the accuracy of replicating portfolio methods in predicting asset prices. In a two-period, general equilibrium
model with incomplete financial markets and heterogeneous agents, a computational study is conducted under various distributional
assumptions. The focus is on the price of a call option on an underlying risky asset. There is evidence that the value of
the (approximate) replicating portfolio is a good approximation for the general equilibrium price for CRRA preferences, but
not for CARA preferences. Furthermore, there is strong evidence that the introduction of the call option reduces market incompleteness,
but that the price of the underlying asset is unchanged. There is, however, inconclusive evidence on the welfare effects of
the option.
The author thanks Dolf Talman, Andrew Somerville, an anonymous referee, and an Associate Editor for helpful comments. Research
funding from the Irish Research Council for the Humanities and Social Sciences is gratefully acknowledged. 相似文献
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Jacco J. J. Thijssen 《Annals of Finance》2010,6(3):295-315
This paper presents a unified approach to valuing investment projects under uncertainty, based on stochastic discount factors,
by linking optimal stopping theory to the no-arbitrage principle in asset pricing. An investment threshold for the case where
the discount factor and the project’s cash-flow both follow a geometric Brownian motion is derived. Comparative statics of
the investment trigger are obtained adding to and clarifying on the uncertainty–investment debate. Finally, two different
ways to obtain discount factors are illustrated: spanning assets and representative agent analysis. The link between the characteristics
of these different approaches and the optimal investment policy is clarified. 相似文献
4.
Benjamin Elsner Gaia Narciso Jacco Thijssen 《Oxford bulletin of economics and statistics》2018,80(3):659-688
Diaspora networks provide information to future migrants, which affects their success in the host country. While the existing literature explains the effect of networks on the outcomes of migrants through the size of the migrant community, we show that the quality of the network is an equally important determinant. We argue that networks that are more integrated in the society of the host country can provide more accurate information to future migrants about job prospects. In a decision model with imperfect signalling, we show that migrants with access to a better network are more likely to make the right decision, that is, they migrate only if they gain. We test these predictions empirically using data on recent Mexican migrants to the United States. To instrument for the quality of networks, we exploit the settlement of immigrants who came during the Bracero program in the 1950s. The results are consistent with the model predictions, providing evidence that connections to a better integrated network lead to better outcomes after migration. 相似文献
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Information goods such as newspapers and magazines have a number of distinct economic characteristics such as a high fixed cost – low marginal (variable) cost structure and the possibility to subsidize content through selling advertising space. We develop a simple one-shot duopoly model that analyses strategic interaction in a market with such features. We focus on the firms best responses and test the theoretical predictions of the model empirically by panel regression techniques using a balanced panel data set of 60 Dutch consumer magazines over the period 1991–1998. Our 3SLS estimation results confirm the prediction of our model that the Dutch market for consumer magazines is characterized by strategic complementarity between magazine and ad prices. 相似文献
8.
Peter F. Fontein Geert J. Thijssen Jan R. Magnus Jan Dijk 《Environmental and Resource Economics》1994,4(5):455-478
Pig farms in the Netherlands pay a zero or low price for using the environment. As a consequence, the environment is overused. The Dutch government wants to reduce the emissions of nitrogen and phosphorus. Possible instruments are regulation and levies. In this study a levy on feed and a levy on the nitrogen surplus are investigated, by incorporating a bad output in the production model. The model is estimated using panel data of Dutch pig farms over the period 1975–1989. Levies on nitrogen turn out to be more cost-effective than levies on feed. 相似文献
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Analysis of Environmental Efficiency Variation 总被引:1,自引:0,他引:1
Stijn Reinhard C. A. Knox Lovell & Geert Thijssen 《American journal of agricultural economics》2002,84(4):1054-1065
In this article, we develop and implement a methodology for analyzing the sources of variation in environmental efficiency across producers. We formulate a two–stage model. In the first stage, we use stochastic frontier analysis to estimate both technical and environmental efficiency. In the second stage, we again use stochastic frontier analysis to regress estimated environmental efficiency scores against a variety of technology, physical environment, and management variables. In this stage we estimate the impact of each explanatory variable on environmental efficiency, and we derive conditional estimates of environmental efficiency from the one–sided error component. We illustrate our methodology with an empirical application to a panel of Dutch dairy farms. We find evidence of relatively low levels of environmental efficiency, and we find that environmental efficiency can be improved through a number of policy options, including the provision of farmers with more insight into the nutrient balance of their farms. 相似文献