Articles scientifiques

A Comparison of Standard Multi-Unit Auctions With Synergies

G. Albano, F. Germano, S. LOVO

Economics Letters

2001, n°71, pp.55-60

Départements : Finance, GREGHEC (CNRS)

In an example where some bidders have superadditive values, we characterize the equilibria of a simultaneous ascending auction and compare the revenue and efficiency generated with ones generated by the sequential, the one-shot simultaneous, and the Vickrey-Clarke-Groves auctions.

A Time Varying Parameter Model to Test For Predictability and Integration in Stock Markets of Transition Economies


Journal of Business and Economic Statistics

janvier 2001, vol. 19, n°1, pp.73-84

Départements : Finance

Mots clés : Central and Eastern Europe, Kalman filter, Market integration, Stock indexes, Volatility transmission

This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized autoregressive conditional heteroscedasticity (GARCH) structure for the residuals. With this extension of the Bekaert and Harvey model, it is possible to test if an emerging stock market becomes more efficient over time and more integrated with other already established markets in situations in which no macroeconomic conditioning variables are available. We apply this model to the Czech, Polish, Hungarian, and Russian stock markets. We use data at daily frequency running from April 7, 1994, to July 10, 1997. A latent factor captures macroeconomic expectations. Concerning predictability, measured with time-varying autocorrelations, Hungary reached efficiency before 1994. Russia shows signs of ongoing convergence toward efficiency. For Poland and the Czech Republic, we find no improvements. With regard to market integration, there is evidence that the importance of Germany has changed over time for all markets. Shocks in the United Kingdom are positively related to the Czech and Polish markets but not to the Russian or the Hungarian markets. Shocks in the United States have no impact on these markets with the exception of Russia. A strong negative correlation between Russia and the United States and Germany tends to disappear over the time span studied. We also show that these markets exhibit significant asymmetric GARCH effects where bad news generates greater volatility. In Hungary, good news, instead, generates greater volatility, which leads us to formulate a liquidity hypothesis

Aggregation of Coarse Preferences


Social Choice and Welfare

2001, vol. 3, n°18, pp.507-525

Départements : Finance

We consider weak preference orderings over a set A(n) of n alternatives. An individual preference is of refinement l less than or equal to n if it first partitions A(n) into l subsets of 'tied' alternatives, and then ranks these subsets within a linear ordering. When l < n, preferences are coarse. It is shown that, if the refinement of preferences does not exceed l, a super majority rule (within non-abstaining voters) with rate 1- 1/l is necessary and sufficient to rule out Condorcet cycles of any length. It is argued moreover how the coarser the individual preferences, (1) the smaller the rate of super majority necessary to rule out cycles 'in probability'; (2) the more probable the pairwise comparisons of alternatives, for any given super majority rule.

Continua of Underemployment Equilibria Reflecting Coordination Failures, Also at Walrasian Prices

H. CRES, A. CITANNA, A. Villanacci, J. Drèze, J. Herings, H. Crès

Journal of Mathematical Economics

2001, n°36, pp.169-200

Départements : Finance, Economie et Sciences de la décision

In this paper, the existence of unemployment is partly explained as being the result of coordination failures. It is shown that as a result of self-fulfilling pessimistic expectations, even at Walrasian prices, a continuum of equilibria results, among which an equilibrium with approximately no trade and a Walrasian equilibrium. These coordination failures also arise at other price systems, but then unemployment is the result of both a wrong price system and coordination failures. Some properties of the set of equilibria are analyzed. Generically, there exists a continuum of non-indifferent equilibrium allocations. Under a condition implied by gross substitutability, there exists a continuum of equilibrium allocations in the neighborhood of a competitive allocation, when prices are Walrasian. For a specialized economy, a dynamic illustration is offered

Equivariant Elliptic Cohomology and Rigidity


American Journal of Mathematics

août 2001, vol. 123, n°4, pp.647-677

Départements : Finance, GREGHEC (CNRS)

Equivariant elliptic cohomology with coriplex coefficients was defined axiomatically by Ginzburg. Kapranov and Vasserot and constructed by Grojnowski. We give an invariant definition of complex S1-equivariant elliptic cohomology, and use it to give an entirely cohomological proof of the rigidity theorem of Witten for the elliptic genus. We also state and prove a rigidity theorem for families of elliptic genera.