Articles

Ambiguity and the Bayesian Approach

I. GILBOA, M. MARINACCI

Advances in Economics and Econometrics: Theory and Applications

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


Belief-free price formation

S. LOVO, T. TOMALA, J. HÖRNER

Journal of Financial Economics

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Départements : Finance, GREGHEC (CNRS), Economie et Sciences de la décision


More haste less speed? Signaling through investment timing

R. LEVY, C. BOBTCHEFF

American Economic Journal: Microeconomics

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

https://www.aeaweb.org/articles?id=10.1257/mic.20160200


We consider a cash-constrained firm learning on the value of an irreversible project at a privately-known speed. Under perfect information, the optimal date of investment may be non-monotonic in the learning speed: better learning increases the value of experimenting further, but also the speed of updating. Under asymmetric information, the firm uses its investment timing to signal confidence in the project and raise cheaper capital from uninformed investors, which may generate timing distortions: investment is hurried when learning is sufficiently fast, and delayed otherwise. The severity of the cash constraint affects the magnitude of the distortion, but not its direction

Repeated games with public deterministic monitoring

T. TOMALA, Marie LACLAU

Journal of Economic Theory

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


Risk-Based Capital Requirements for Banks and International Trade

Banu DEMIR-PAKEL, T. K. MICHALSKI, E. ORS

Review of Financial Studies

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS), Finance


Two-sided reputation in certification markets

M. BOUVARD, R. LEVY

Management Science

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Certification, Reputation, Multihoming


In a market where sellers solicit certification to overcome asymmetric information, we show that the profit of a monopolistic certifier can be hump-shaped in its reputation for accuracy: a higher accuracy attracts high-quality sellers but sometimes repels low-quality sellers. As a consequence, reputational concerns may induce the certifier to reduce information quality, thus depressing welfare. The entry of a second certifier impacts reputational incentives: when sellers only solicit one certifier, competition plays a disciplining role and the region where reputation is bad shrinks. Conversely, this region may expand when sellers hold multiple certifications

Warm-Glow Giving and Freedom to be Selfish

O. EVREN, S. MINARDI

Economic Journal

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Départements : Economie et Sciences de la décision


Why the Empty Shells Were Not Fired: A Semi-Bibliographical Note

I. GILBOA

Episteme

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Départements : Economie et Sciences de la décision, GREGHEC (CNRS)


Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data

S. MINARDI, Andrei SAVOCHKIN

Mathematics of Operations Research

février 2017, vol. 42, n°1, pp.167 - 178

Départements : Economie et Sciences de la décision

Mots clés : smooth ambiguity; variational preferences; revealed preference; completely monotone functions; Afriat inequalities; moment problem


In the Anscombe-Aumann setup, we provide conditions for a collection of observations to be consistent with a well-known class of smooth ambiguity preferences (Klibanoff P, Marinacci M, Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73(6):1849–1892.). Each observation is assumed to take the form of an equivalence between an uncertain act and a certain outcome. We provide three results that describe these conditions for data sets of different cardinality. Our findings uncover surprising links between the smooth ambiguity model and classic mathematical results in complex and functional analysis.

A theorem on aggregating classifications

F. MANIQUET, P. MONGIN

Mathematical Social Sciences

janvier 2016, vol. 79, pp.6-10

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Aggregation of classifications, Group identification problem, Task assignment problem, Nonbinary evaluations

http://ssrn.com/abstract=2686037


Suppose that a group of individuals must classify objects into three or more categories, and does so by aggregating the individual classifications. We show that if the classifications, both individual and collective, are required to put at least one object in each category, then no aggregation rule can satisfy a unanimity and an independence condition without being dictatorial. This impossibility theorem extends a result that Kasher and Rubinstein (1997) proved for two categories and complements another that Dokow and Holzman (2010) obtained for three or more categories under the condition that classifications put at most one object in each category. The paper discusses an interpretation of its result both in terms of Kasher and Rubinstein’s group identification problem and in terms of Dokow and Holzman’s task assignment problem.