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Bayesian Persuasion Mediating Cheap Talk 贝叶斯说服调解废话
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-09-25 DOI: 10.2139/ssrn.3699672
Erkin Sagiev
{"title":"Bayesian Persuasion Mediating Cheap Talk","authors":"Erkin Sagiev","doi":"10.2139/ssrn.3699672","DOIUrl":"https://doi.org/10.2139/ssrn.3699672","url":null,"abstract":"We study a multi-player model of sequential communication. A receiver obtains information from two sources. The first is cheap talk with a sender, who acquires the information, while the second is Bayesian persuasion with a mediator, who modifies the initial information. We prove that Bayesian persuasion does not defy truthful communication in cheap talk, but reduces the ex-ante utility of the sender. However, the fineness of the state-space partition in cheap talk can be altered to mitigate utility losses. We also demonstrate that a signalling rule in the persuasion is defined by whether the revealed partition element triggers an action of the receiver that is unfavourable to the mediator. In addition, we characterise preferences of the mediator regarding a cheap-talk partition formed by the sender. Finally, we illustrate our results drawing on a communication process between tax authorities.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127717488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Anonymous Equity Research 匿名股票研究
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-09-04 DOI: 10.2139/ssrn.3686739
Travis Dyer, EunJee Kim
{"title":"Anonymous Equity Research","authors":"Travis Dyer, EunJee Kim","doi":"10.2139/ssrn.3686739","DOIUrl":"https://doi.org/10.2139/ssrn.3686739","url":null,"abstract":"Crowd-sourced financial information platforms often allow content contributors to publish equity research anonymously. This study examines whether investors value or discount information in anonymous equity research. In the short window around research releases, we find that investors’ stock price reaction to anonymous research is muted in comparison to non-anonymous research. Consistent with credibility concerns influencing investor response, we document that this discount to anonymous research dissipates as the monitoring of content contributors intensifies and as authors develop a reputation for high-quality reporting. Lastly, we provide evidence that firm insiders are likely among those contributing anonymously to crowd-sourced investment platforms.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128522693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
From Ex Ante to Ex Post Risk Sharing: Cost-Effectiveness, Unfairness and Adverse Selection in Mutual Aid 从事前风险分担到事后风险分担:互助中的成本效益、不公平与逆向选择
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3925904
Ze Chen, Runhuan Feng, Li Wei, Jiaqi Zhao
{"title":"From Ex Ante to Ex Post Risk Sharing: Cost-Effectiveness, Unfairness and Adverse Selection in Mutual Aid","authors":"Ze Chen, Runhuan Feng, Li Wei, Jiaqi Zhao","doi":"10.2139/ssrn.3925904","DOIUrl":"https://doi.org/10.2139/ssrn.3925904","url":null,"abstract":"Online mutual aid (MA) is a novel form of risk sharing empowered by InsurTechto provide critical illness coverage without involving an insurer. By shifting from exante premium to ex post sharing, MA platforms regularly publicize the informationof confirmed loss cases to their participants, including claimants’ diagnosed diseases,benefits and share contribution per participant. This paper shows that MA’s distinctive “paying after knowing” feature has largely shaped its cost-effectivenss. Wefirst provide a rigorous examination of the underpinning theory and conclude thatMA model’s low coverage cost is achieved through an effective ex post cost-sharingmechanism. In addition, MA plans suffers unfairness as they differentiate mem-bers only by gender and age group of large bandwidths. Using proprietary data onparticipants’ quitting behavior, our empirical analysis shows that participants areconscious about the public disclosure and confirms the existence of adverse selectiondue to the lack of actuarial fairness.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131178649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Understanding the Impact of Reviews on Consumer Product Choices under Negotiated Pricing 了解评论对协商定价下消费者产品选择的影响
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-08-14 DOI: 10.2139/ssrn.3673657
Jisu Cao, Sha Yang
{"title":"Understanding the Impact of Reviews on Consumer Product Choices under Negotiated Pricing","authors":"Jisu Cao, Sha Yang","doi":"10.2139/ssrn.3673657","DOIUrl":"https://doi.org/10.2139/ssrn.3673657","url":null,"abstract":"The objective of the paper is to understand the impact of reviews on product choices when consumers can negotiate a purchase price. Although prior studies have examined this impact in various contexts, none have considered a setting in which the purchase price is negotiated. Leveraging a unique data set of consumer reviews of new car purchases, this research shows a double-edged-sword effect. On the one hand, good reviews can increase choice probability by raising consumer baseline preferences; on the other hand, such reviews may increase the seller’s bargaining power, which may result in higher purchase prices and subsequent lower choice probability. We developed a structural model to reveal the multiple mechanisms in reviews that impact negotiated price and product choices. Ignoring the impact of reviews on the negotiated price leads to a biased estimation of the effectiveness of reviews. We quantified expected consumer savings from access to review features of historical price and discount frequency using counterfactual analyses and arrived at estimated values of $96.92 and $88.92, respectively. Online review platforms could potentially generate measurable economic benefits by monetizing price-related review content.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134576488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Investor Monitoring, Money-Likeness and Stability of Money Market Funds 货币市场基金的投资者监督、货币相似性与稳定性
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-08-13 DOI: 10.2139/ssrn.3624820
Maija Järvenpää, Aleksi Paavola
{"title":"Investor Monitoring, Money-Likeness and Stability of Money Market Funds","authors":"Maija Järvenpää, Aleksi Paavola","doi":"10.2139/ssrn.3624820","DOIUrl":"https://doi.org/10.2139/ssrn.3624820","url":null,"abstract":"An asset is money-like if investors have no incentives to acquire costly private information on the underlying collateral. However, privately provided money-like assets—like prime money market fund (MMF) shares—are prone to runs if investors suddenly start to question the value of the collateral. Therefore, for risky assets, lack of money-likeness is a necessary condition for lack of run incentives. But is it a sufficient one? This paper studies the effect of the U.S. money market fund reform of 2014--2016 on investor monitoring, money-likeness and stability of institutional prime MMFs. Using the number of distinct IP addresses accessing MMFs' regulatory reports as a proxy for investor monitoring, we find that the reform increased monitoring and thus decreased money-likeness of institutional prime funds. However, we also show that after the reform, institutional prime funds that are more likely to impose the newly introduced redemption restrictions are more monitored, suggesting that investors may monitor in order to avoid being hit by the restrictions. In line with this view, we find that a high probability of redemption restrictions amplifies the run on institutional prime MMFs during the Covid-19 related market panic in March 2020. Overall, our results indicate that despite decreased money-likeness, the reform has not made institutional prime MMFs run-free, and it may have actually created a new source of fragility for MMFs.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134086404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
A Model of Maker-Taker Fees and Quasi-Natural Experimental Evidence 一个Maker-Taker收费模型与准自然实验证据
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-08-09 DOI: 10.2139/ssrn.3279712
Yiping Lin, P. Swan, F. Harris
{"title":"A Model of Maker-Taker Fees and Quasi-Natural Experimental Evidence","authors":"Yiping Lin, P. Swan, F. Harris","doi":"10.2139/ssrn.3279712","DOIUrl":"https://doi.org/10.2139/ssrn.3279712","url":null,"abstract":"In recognition of the design of Rule 611 of RegNMS that precludes fee washout, we introduce endogenous information acquisition into an asymmetric information model of the limit order book with access fees and continuous pricing. Informed traders optimally adjust the likelihood of an informed trade to match fee structures which by legal fiat cannot washout despite claims to the contrary. We test this implication using NASDAQ’s ‘quasi-natural’ 1.9 trillion-dollar experiment with a unilateral maker-taker fee/rebate reduction. We show that the cum take-fee spread narrows due to a deterioration in informational content resulting in welfare loss and worsening of platform price efficiency.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115150302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Preparing for the Worst but Hoping for the Best: Robust (Bayesian) Persuasion 做最坏的打算，抱最好的希望:稳健的(贝叶斯)说服
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3523114
Piotr Dworczak, A. Pavan
{"title":"Preparing for the Worst but Hoping for the Best: Robust (Bayesian) Persuasion","authors":"Piotr Dworczak, A. Pavan","doi":"10.2139/ssrn.3523114","DOIUrl":"https://doi.org/10.2139/ssrn.3523114","url":null,"abstract":"We propose a robust solution concept for Bayesian persuasion that accounts for the Sender's concern that her Bayesian belief about the environment—which we call the \u0000 conjecture—may be false. Specifically, the Sender is uncertain about the exogenous sources of information the Receivers may learn from, and about strategy selection. She first identifies all information policies that yield the largest payoff in the “worst‐case scenario,” that is, when Nature provides information and coordinates the Receivers' play to minimize the Sender's payoff. Then she uses the conjecture to pick the optimal policy among the worst‐case optimal ones. We characterize properties of robust solutions, identify conditions under which robustness requires separation of certain states, and qualify in what sense robustness calls for more information disclosure than standard Bayesian persuasion. Finally, we discuss how some of the results in the Bayesian persuasion literature change once robustness is accounted for, and develop a few new applications.\u0000","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129154856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 34
Valuation and Optimal Exercise of Derivatives Under Private Information 私有信息下衍生品的估值与最优执行
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-06-24 DOI: 10.2139/ssrn.3162027
Jørgen Haug, Tommy Stamland
{"title":"Valuation and Optimal Exercise of Derivatives Under Private Information","authors":"Jørgen Haug, Tommy Stamland","doi":"10.2139/ssrn.3162027","DOIUrl":"https://doi.org/10.2139/ssrn.3162027","url":null,"abstract":"We provide an easy-to-use model that values derivatives for a privately informed agent. We introduce private forward prices that conveniently format private information for inclusion in a standard no-arbitrage framework. This framework yields simple expressions for the privately-informed value of European options. The flexible timing of American option exercise can be used to mitigate adverse information or exploit favorable information. Private information may thus cause significant differences between European and American call and put values, even in the absence of dividends.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"143 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114004892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Product Fit Uncertainty and Information Provision in a Distribution Channel 分销渠道中的产品匹配不确定性与信息供给
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-06-23 DOI: 10.2139/ssrn.3634221
Monic Sun
{"title":"Product Fit Uncertainty and Information Provision in a Distribution Channel","authors":"Monic Sun","doi":"10.2139/ssrn.3634221","DOIUrl":"https://doi.org/10.2139/ssrn.3634221","url":null,"abstract":"Consumers of experience goods typically face some uncertainty about the fit between their tastes and the features of products being o¤ered. Information technology has given consumers the ability to conduct research online about their potential fit with products before buying, and modern sellers the ability to disseminate product information to consumers. This paper investigates a manufacturer's and retailers' incentives to disclose such product fit information to consumers when the manufacturer sells to consumers through competing retailers. We show that whether a manufacturer selling through retailers is more or less likely to disclose fit information compared to a manufacturer selling directly to consumers depends on the degree of retail competition. If the disclosure decisions are made before the manufacturer sets its wholesale price, then all channel members want to disclose fit information for low-quality products, no one wants to disclose it for medium-quality products, and only the retailers prefer to disclose fit information for high-quality products. This disclosure conflict for high-quality products can be resolved if the manufacturer can commit to a wholesale price before the disclosure decisions. The retailers also then prefer to not disclose fit information for high-quality products. Regardless of whether the wholesale price is set before or after disclosure decisions, a mandatory product-fit disclosure policy can decrease consumer welfare and social surplus, depending on the level of product quality and the degree of retail competition.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115263882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 34
Voluntary Information Disclosure with Heterogeneous Beliefs 异质信念下的自愿信息披露
Microeconomics: Asymmetric & Private Information eJournal Pub Date : 2020-06-17 DOI: 10.2139/ssrn.3379412
Xia (Summer) Liu, Shancun Liu, Lei Lu, Yongdong Shi, Xiong Xiong
{"title":"Voluntary Information Disclosure with Heterogeneous Beliefs","authors":"Xia (Summer) Liu, Shancun Liu, Lei Lu, Yongdong Shi, Xiong Xiong","doi":"10.2139/ssrn.3379412","DOIUrl":"https://doi.org/10.2139/ssrn.3379412","url":null,"abstract":"Abstract We present a model in which an insider (i.e., manager or CEO) and an informed outsider (i.e., financial analyst or professional) have heterogeneous beliefs on their shared information about a risky asset and analyze the insider's incentive to voluntarily disclose this information to the public. We find that with heterogeneous beliefs the insider and informed outsider exploit their shared information differently and this might give rise to the insider's voluntary disclosure of this shared information to the public to seek excess profits. Specifically, the insider is more likely to release the information to the public when she has a greater relative information advantage than the informed outsider and that the informed outsider is more optimistic in the shared information. Our findings shed light on why some firm insiders prefer to trade against informed outsiders while others prefer to drive informed outsiders out of trading through voluntary disclosure.","PeriodicalId":119201,"journal":{"name":"Microeconomics: Asymmetric & Private Information eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114175047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
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