Articles scientifiques

A Martingale Characterization of Equilibrium Asset Price Processes

A. LAZRAK, J. Décamps

Economic Theory

2000, vol. 15, n°1, pp.207-123

Départements : Finance

Bargaining Power and Optimal Leverage



décembre 2000, vol. 21, n°2, pp.85-101

Départements : Finance, GREGHEC (CNRS)

Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark

E. Jondeau, M. ROCKINGER

Revue Finance

janvier 2000

Départements : Finance

Competing Mechanisms in a Common Value Environment



juillet 2000, vol. 68, n°4, pp.799-837

Départements : Finance

Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. Imperfect competition in this common value environment is analyzed as a multi-principal game in which liquidity suppliers offer trading mechanisms in a decentralized way. Each liquidity supplier behaves as a monopolist facing a residual demand curve resulting from the maximizing behavior of the informed agent and the trading mechanisms offered by his competitors. There exists a unique equilibrium in convex schedules. It is symmetric and differentiable and exhibits typical features of market-power: Equilibrium trading volume is lower than ex ante efficiency would require. Liquidity suppliers charge positive mark-ups and make positive expected profits, but these profits decrease with the number of competitors. In the limit, as this number goes to infinity, ask (resp. bid) prices converge towards the upper (resp. lower) tail expectations obtained in Glosten (1994) and expected profits are zero

Creative Destruction and Organization Change

D. THESMAR, M. Thoenig

Quarterly Journal of Economics

novembre 2000

Départements : Finance, GREGHEC (CNRS)

Firms' organizational choices are influenced by external conditions such as the instability of the product market. In order to address this issue in a macroeconomic perspective, we embed the firm's choice of organizational structure in a model of growth through creative destruction, which induces endogenous market volatility. We find that an increasing supply of skill or globalization may increase the rate of creative destruction, the skill premium, and the skilled wages, and it may depress the unskilled wages. We use an original data set to test the empirical relevance of our theory