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On the Existence of Stable Equilibria in Monotone Games 单调对策中稳定均衡的存在性
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3766940
Anne Barthel, Eric J. Hoffmann
{"title":"On the Existence of Stable Equilibria in Monotone Games","authors":"Anne Barthel, Eric J. Hoffmann","doi":"10.2139/ssrn.3766940","DOIUrl":"https://doi.org/10.2139/ssrn.3766940","url":null,"abstract":"This paper shows that under very general conditions, there exists a locally stable Nash equilibrium in games of strategic complements (GSC), as well as in the more general case of games with non-decreasing best response correspondences. While it is well known that in such cases a unique equilibrium is globally stable, no equilibrium can be globally stable when multiple equilibria exist. However, the existence of a locally stable equilibrium remains an open question, as we give examples of GSC in which no stable equilibrium exists. One main advantage of our approach is that our results can be derived simply by exploiting the monotonicity properties of the game, and do not require any differentiability assumptions. Results on equilibrium refinement follow as a corollary under slightly stronger assumptions, in the sense that games with two equilibria possess exactly one locally stable equilibrium.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"89 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76056405","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
Can Security Design Foster Household Risk-Taking? 安全设计能促进家庭冒险吗?
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3474645
Laurent E. Calvet, Claire Célérier, Paolo Sodini, B. Vallée
{"title":"Can Security Design Foster Household Risk-Taking?","authors":"Laurent E. Calvet, Claire Célérier, Paolo Sodini, B. Vallée","doi":"10.2139/ssrn.3474645","DOIUrl":"https://doi.org/10.2139/ssrn.3474645","url":null,"abstract":"This paper shows that securities with a non-linear payoff design can foster household risk-taking. We demonstrate this effect empirically by exploiting the introduction of capital guarantee products in Sweden from 2002 to 2007. The fast and broad adoption of these products is associated with an increase in expected financial portfolio returns, which is especially strong for households with a low risk appetite ex ante. We explore possible economic explanations by developing a life-cycle model of consumption-portfolio decisions. The capital guarantee substantially increases risk-taking by households with pessimistic beliefs or preferences combining loss aversion and narrow framing. The welfare gains from financial innovation are stronger for households that are less willing to take risk ex ante. Our results illustrate how security design can mitigate behavioral biases and enhance economic well-being.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"20S 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76310147","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: 13
Investor Herding Behavior and Stock Volatility (투자자의 군집행동과 주식의 변동성) Investor Herding Behavior and Stock Volatility(投资者的群集行为和股票的变动性)
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-30 DOI: 10.2139/ssrn.3631783
W. Kim, J.B. (Jong-Bom) Chay, Youngjoo Lee
{"title":"Investor Herding Behavior and Stock Volatility (투자자의 군집행동과 주식의 변동성)","authors":"W. Kim, J.B. (Jong-Bom) Chay, Youngjoo Lee","doi":"10.2139/ssrn.3631783","DOIUrl":"https://doi.org/10.2139/ssrn.3631783","url":null,"abstract":"<b>English Abstract:</b> This study explores the herding behavior of different types of investors (individual investors and both domestic and foreign institutional investors) and its impact on the volatility of individual stock returns. Intraday volatility and daily herding intensity of each investor type are measured using high-frequency transaction data containing detailed information on all executed orders in the Korea Exchange. This study regresses realized volatility on the herding intensity of each investor type and other control variables and finds that herding of domestic and foreign institutions decreases realized volatility, whereas herding of individual investors increases it. This study also finds that the destabilizing effect of individual investors’ herding behavior is exacerbated on days of high market uncertainty, and the stabilizing effect of domestic institutions’ herding is weakened on those days, whereas the stabilizing effect of foreign institutions’ herding is not affected by the level of market uncertainty.<br><br><b>Korean Abstract:</b><br>본 연구는 다양한 유형의 투자자의 군집행동이 주식의 변동성에 미치는 영향을 분석하 는 것을 목적으로 한다. 이를 위해 본 연구는 국내 주식시장의 고빈도 거래 데이터를 이 용하여 주식의 일중 변동성과 개인투자자, 국내 기관투자자, 외국인 투자자의 군집행위를 측정하고 군집행위와 변동성 간의 관계에 대한 회귀분석을 시행한다. 분석 결과 개인투 자자의 군집행동은 주식의 변동성과 양의 관계가 있는 반면 국내 기관투자자와 외국인 투자자의 군집행동은 변동성과 음의 관계가 있는 것으로 나타난다. 이러한 결과는 개인 투자자의 경우 정보에 기반을 두지 않은 매매를 함으로써 주식 가격의 변동성을 증가시 키는 것으로 해석된다. 반면 국내 기관이나 외국인 투자자의 군집행위는 정보에 의해 유 발되며 영구적인 가격 발견 효과를 일으켜 변동성을 줄이는 것으로 해석할 수 있다. 추 가적인 분석에서는 개인투자자 군집행동과 변동성 간의 양의 관계는 시장의 불확실성이 큰 날에 더욱 현저해지며 국내 기관투자자의 군집행동과 변동성 간의 음의 관계는 시장 의 불확실성이 커질수록 약화되는 것으로 나타난다. 반면 외국인 투자자의 군집행동과 변동성 간의 음의 관계는 시장 불확실성으로부터 영향을 받지 않는 것으로 나타난다. 즉 개인투자자 및 국내 기관투자자는 시장의 불확실성이 커질수록 비합리적인 군집행동이 증가하는 것으로 추론된다.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"19 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75179542","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
Employee Sentiment and Stock Returns 员工情绪和股票回报
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-28 DOI: 10.2139/ssrn.3612922
Jian Chen, Guohao Tang, Jiaquan Yao, Guofu Zhou
{"title":"Employee Sentiment and Stock Returns","authors":"Jian Chen, Guohao Tang, Jiaquan Yao, Guofu Zhou","doi":"10.2139/ssrn.3612922","DOIUrl":"https://doi.org/10.2139/ssrn.3612922","url":null,"abstract":"We propose an employee sentiment index, which complements investor sentiment and manager sentiment indices, and find that high employee sentiment predicts a subsequent low market return, significant both in- and out-of-sample. The predictability of the employee sentiment index can also deliver sizable economic gains for mean-variance investors in asset allocation. The employee sentiment’s impact is stronger among employees who work in the headquarters state and among less experienced employees. The economic driving force of the predictability is distinct from those of investor sentiment and manager sentiment: high employee sentiment leads to high contemporaneous wage growth due to immobility, which in turn results in subsequently lower firm cash flow and lower stock return.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82497327","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: 6
The Extended Holiday Effect on US Capital Market 美国资本市场的假期延长效应
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-17 DOI: 10.2139/ssrn.3603455
Ramona Dumitriu, R. Stefanescu
{"title":"The Extended Holiday Effect on US Capital Market","authors":"Ramona Dumitriu, R. Stefanescu","doi":"10.2139/ssrn.3603455","DOIUrl":"https://doi.org/10.2139/ssrn.3603455","url":null,"abstract":"Studies on the financial markets proved that not all calendar anomalies are persistent in time. Some of them experienced various types of changes, including passing from the classical form to an extended one, with an enlarged specific time interval. This paper approaches the Holiday Effect extended form on the United States capital market. In its classical form, the Holiday Effect refers to abnormal stock returns on a trading day before a public holiday and a trading day after. We study the behavior of stocks returns for a time interval that starts four trading days before a public holiday and it ends four trading days after. In this investigation we employ the daily closing values of four important indexes from the United States capital market: Dow Jones Industrial Average, Standard & Poor's 500, Russell 2000 and NASDAQ Composite. In order to capture the changes experienced in time by the Extended Holiday Effect we analyze the returns of these indexes for three periods: January 1990 - December 1999, January 2000 – December 2009 and January 2010 – April 2020. The investigation revealed, for some trading days from the enlarged specific time interval, returns that were, in average, significant larger or smaller than those of the days outside of this interval. We found especially high abnormal returns on four or three trading days before public holidays and low abnormal returns on one or two trading days after public holidays. The results also suggest that the Extended Holiday Effect was more visible in relative quiet periods than in the turbulent ones and it influences especially the stock returns of small cap companies.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88580141","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
The Structure of Cryptocurrency Returns 加密货币收益的结构
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-15 DOI: 10.2139/ssrn.3604322
Amin Shams
{"title":"The Structure of Cryptocurrency Returns","authors":"Amin Shams","doi":"10.2139/ssrn.3604322","DOIUrl":"https://doi.org/10.2139/ssrn.3604322","url":null,"abstract":"This paper documents a persistent structure in cryptocurrency returns and analyzes a broad set of characteristics that explain this structure. The results show that similarities in size, trading volume, age, consensus mechanism, and token industries drive the structure of cryptocurrency returns. But the highest variation is explained by a “connectivity” measure that proxies for similarity in cryptocurrencies’ investor bases using their trading location. Currencies connected to other currencies that perform well generate sizably higher returns than the cross-section both contemporaneously and in the future. I examine three potential channels for these results. First, evidence from new exchange listings and a quasi-natural experiment shows that unobservable characteristics cannot explain the effect of connectivity. Second, decomposition of the order flows suggests that connectivity captures strong exchange-specific commonalities in crypto investors’ demand that also spills over to other exchanges. Finally, analysis of social media data suggests that these demand shocks are a first order driver of cryptocurrency returns, largely because they can be perceived as a sign of user adoption.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"16 7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88107957","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: 23
The Indirect Effects of Trading Restrictions 贸易限制的间接影响
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-13 DOI: 10.2139/ssrn.3333403
Shujing Wang, Hongjun Yan, Ninghua Zhong, Yizhou Tang
{"title":"The Indirect Effects of Trading Restrictions","authors":"Shujing Wang, Hongjun Yan, Ninghua Zhong, Yizhou Tang","doi":"10.2139/ssrn.3333403","DOIUrl":"https://doi.org/10.2139/ssrn.3333403","url":null,"abstract":"Stock market trading restrictions directly affect stock prices and liquidity via constraints on investors’ transactions. They also have indirect effects by altering the information environment. We isolate these indirect effects by analyzing the effect of stock market restrictions on the corporate bond market. Using the staggered relaxation of the restrictions on margin trading and short selling in the Chinese stock market as a quasi-natural experiment, we find that the relaxation of these restrictions on a firm’s stock reduces the credit spread of its corporate bond. This effect is more pronounced for firms with more opaque information or lower credit ratings.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74970338","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
Liquidity in Cryptocurrency Market and Commonalities across Anomalies 加密货币市场的流动性和异常的共性
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-07 DOI: 10.2139/ssrn.3563952
Bingbing Dong, Lei Jiang, Jinyu Liu, Yifeng Zhu
{"title":"Liquidity in Cryptocurrency Market and Commonalities across Anomalies","authors":"Bingbing Dong, Lei Jiang, Jinyu Liu, Yifeng Zhu","doi":"10.2139/ssrn.3563952","DOIUrl":"https://doi.org/10.2139/ssrn.3563952","url":null,"abstract":"In this paper, we examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency market. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and investment assets, and find that in the long-run equilibrium, decreases in funding liquidity translate into lower asset liquidity in the cryptocurrency market. Empirically, we observe that the widely recognized stock market anomalies also exist in the cryptocurrency market, though some have opposite long/short legs. In addition, we also find supportive evidence that a decrease in cryptocurrency liquidity enhances hedge portfolio returns based on anomalies while preventing the cryptocurrency market from achieving efficiency.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89996255","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: 4
Dark Pool Trading and Information Acquisition 暗池交易和信息获取
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-05 DOI: 10.2139/ssrn.3281472
Jonathan Brogaard, Jing Pan
{"title":"Dark Pool Trading and Information Acquisition","authors":"Jonathan Brogaard, Jing Pan","doi":"10.2139/ssrn.3281472","DOIUrl":"https://doi.org/10.2139/ssrn.3281472","url":null,"abstract":"\u0000 Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission’s (SEC’s) Tick Size Pilot Program. The results cannot be explained by lit venue liquidity, algorithmic trading, or informational efficiency. A battery of additional tests, such as documenting a shift in SEC EDGAR searches, supports the information acquisition interpretation.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81491973","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: 7
Optimal Pricing in the Online Betting Market 网上博彩市场的最优定价
Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2020-05-01 DOI: 10.2139/ssrn.2199035
M. Montone
{"title":"Optimal Pricing in the Online Betting Market","authors":"M. Montone","doi":"10.2139/ssrn.2199035","DOIUrl":"https://doi.org/10.2139/ssrn.2199035","url":null,"abstract":"I find that the optimal price of a bet for a risk-averse bookmaker is a function of elasticity of demand and the number of outcomes of the betting event. In the presence of shocks in the order flow, however, the optimal price can change, and large adjustments can create arbitrage opportunities for informed investors. Using a large sample of online bookmakers and a unique data set of real-time betting odds, I find strong support for these predictions. The results suggest that bookmakers' attitude towards risk is a key driver of prices in the betting market.","PeriodicalId":18611,"journal":{"name":"Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78259042","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
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