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Working Paper
Corporate board composition, protocols, and voting behavior: experimental evidence
We model experimentally the governance of an institution. The optimal management of this institution depends on the information possessed by insiders. However, insiders, whose interests are not aligned with the interests of the institution, may choose to use their information to further personal rather than institutional ends. Researchers (e.g., Palfrey 1990) and the business press have both argued that multiagent mechanisms, which inject trustworthy but uninformed ?watchdog? agents into the governance process and impose penalties for conflicting recommendations, can implement institutionally ...
Working Paper
Emerging debt and equity markets: an exploratory investigation of integration using daily data
In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant "events," in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the predictability of returns using both domestic and U.S. variables. Finally, we test whether a single latent variable can explain these returns. The evidence suggests that the degree of integration varies with security types and the country of origin. However, these differences between security types become less ...
Working Paper
Price reactions to public announcements
We employ a parametric rational expectations equilibrium model to study the impact of public information releases on private information acquisition and asset prices in a large economy. We demonstrate that investors treat public information as a substitute for privately acquired information. Their attempts to substitute public for private information can amplify or even reverse the effect of public information releases on price volatility. The direction of the resulting change in price volatility is dependent on the level of public information regarding asset payoffs, the variance of asset ...
Working Paper
Collusion in uniform-price auctions: experimental evidence and implications for Treasury auctions
In uniform-price auctions of shares there exist collusive equilibria in which bidders capture the entire surplus from the auction as well as competitive equilibria in which the auctioneer captures the entire surplus from the auction. We provide experimental evidence that, in uniform-price auctions, non-binding pre-play communication facilitates convergence to collusive equilibrium outcomes. On the other hand, regardless of the opportunities for communication, in discriminatory-auction experiments subject strategies conform closely with the unique equilibrium in undominated strategies in which ...
Conference Paper
Rents, regulation and risk-taking in the banking industry