Articles scientifiques

A geometric study of shareholders' voting in incomplete markets: multivariate median and mean shareholder theorems

H. CRES

Social Choice and Welfare

octobre 2006, vol. 27, n°2, pp.377-406

Départements : Finance


A Note on Risk Aversion and Herd Behavior in Financial Markets

J. Decamps, S. LOVO

Geneva Papers on Risk and Insurance Theory

juillet 2006, vol. 31, n°1

Départements : Finance, GREGHEC (CNRS)


We show that differences in market participants risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents learning of market's fundamentals. These results are obtained without introducing multidimensional uncertainty or transaction cost

Ascending auctions for multiple objects: the case for the Japanese design

G. Albano, F. Germano, S. LOVO

Economic Theory

août 2006, vol. 28, n°2, pp.331-355

Départements : Finance, GREGHEC (CNRS)


We consider two ascending auctions for multiple objects, namely, an English and a Japanese auction, and derive a perfect Bayesian equilibrium of the Japanese auction by exploiting its strategic equivalence with the survival auction, which consists of a finite sequence of sealed-bid auctions. Thus an equilibrium of a continuous time game is derived by means of backward induction in finitely many steps. We then show that all equilibria of the Japanese auction induce equilibria of the English auction, but that many collusive or signaling equilibria of the English auction do not have a counterpart in the Japanese auction

Bid Ask Price Competition with Asymmetric Information Between Market Makers

R. Calcagno, S. LOVO

Review of Economic Studies

avril 2006, vol. 73, n°2, pp.329-355

Départements : Finance, GREGHEC (CNRS)


This paper studies the effect of asymmetric information on the price formation process in a quote-driven market. One market maker receives private information on the value of the quoted asset, and repeatedly competes with market makers who are uninformed. We show that despite the fact that the informed market maker's quotes are public, the market is never strong-form efficient with certainty until the last stage. We characterize a reputational equilibrium in which the informed market-maker influences and possibly misleads the uninformed market makers' beliefs. At this equilibrium, a price leadership effect arises, the informed market maker's expected payoff is positive and the rate of price discovery increases in the last stages of trade

Distribution and growth in an economy with limited needs: Variable markups and 'the end of work'

G. SAINT-PAUL

Economic Journal

avril 2006, vol. 116, n°511, pp.382-407

Départements : Finance


This article studies a model of the distribution of income under bounded needs. Utility derived from any given is bounded from above and demand is therefore not isoelastic. On the other hand, introducing new varieties always increases utility. It is assumed that each variety is owned by a monopoly. Workers can specialise in material goods production or in the knowledge sector, which designs new varieties. As productivity increases, the economy moves from a 'Solovian zone' where wages increase with productivity, to a 'Marxian' zone where they paradoxically decline with productivity


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