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  • 1
    Article
    Article
    Slow price adjustment to public news in after-hours trading (2016)
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    UID:
    (DE-627)895104644
    ISSN: 1559-3967
    In: The journal of trading, New York, NY : Institutional Investor, 2006, 11(2016), 3, Seite 16-31, 1559-3967
    In: volume:11
    In: year:2016
    In: number:3
    In: pages:16-31
    Language: English
    Keywords: Aufsatz in Zeitschrift
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  • 2
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    Bayesian Implementation with Schedules (2022)
    [S.l.] : SSRN
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    UID:
    (DE-627)1840375590
    Format: 1 Online-Ressource (29 p)
    Series Statement: George Mason University School of Business Research Paper
    Content: We define a new solution concept named ``Bayesian Nash equilibrium with schedules" as one in which each player, conditional on her own type, chooses a strategy over an expanded action space of contingent schedules on other players' realized actions. This solution concept is a natural extension of a rational expectation equilibrium defined in a market setting to a generic strategic setting. We show that under fairly general conditions, for any efficient social choice function, there always exists a mechanism that implements it with this new solution concept. The finding thus proves a positive result to the mechanism design literature without assuming quasil-linear preferences or independent types. Furthermore, the finding can also be thought of as an extension of the Second Welfare Theorem to settings with asymmetric information and externalities. We also give examples in which the efficient mechanisms take the form of simple linear sharing rules
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 4, 2022 erstellt
    Language: English
    DOI: 10.2139/ssrn.4268405
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  • 3
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    Information Aggregation via Contracting (2021)
    [S.l.] : SSRN
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    UID:
    (DE-627)1806632764
    Format: 1 Online-Ressource (24 p)
    Series Statement: George Mason University School of Business Research Paper
    Content: Much has been studied about the role of the market in information aggregation. This paper argues that a well-designed contract in general, and some simple affine contract under standard conditions in specific, could play a similar role. Our results revisit a simple question: When a group of investors with dispersed private information simultaneously invest in a risky project, how should they divide the project payoff? The results also shed new light on institution-market relationships and provide potential guidance for several emerging FinTech applications
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 28, 2020 erstellt
    Language: English
    DOI: 10.2139/ssrn.3682883
    URL: kostenfrei
    URL: kostenfrei
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  • 4
    Article
    Article
    DeFi as an Information Aggregator (2021)
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    UID:
    (DE-627)1839915919
    ISBN: 9783662639573
    In: FC (Veranstaltung : 25. : 2021 : Online), Financial cryptography and data security, Berlin : Springer, 2021, (2021), Seite 171-176, 9783662639573
    In: 3662639572
    In: year:2021
    In: pages:171-176
    Language: English
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  • 5
    Online Resource
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    Profit-Sharing, Wisdom of the Crowd, and Theory of the Firm (2016)
    [S.l.] : SSRN
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    UID:
    (DE-627)1791794408
    Format: 1 Online-Ressource (56 p)
    Content: I show that simple profit-sharing contracts with decentralized control could empower individuals with their collective wisdom by coordinating actions guided by dispersed private information. This result parallels existing theories for financial markets, where the equilibrium market price achieves an information aggregation effect through rational expectations. The wisdom of the crowd effect of a well-designed profit-sharing contract speaks to optimal corporate governance structures, guides security design for some new financing practices such as equity crowdfunding, and sheds new light on the nature of the firm: firms endogenously emerge to complete the market
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2016 erstellt
    Language: English
    DOI: 10.2139/ssrn.2686891
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  • 6
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    Profit Sharing : A Contracting Solution to Harness the Wisdom of the Crowd (2020)
    [S.l.] : SSRN
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    UID:
    (DE-627)1790497108
    Format: 1 Online-Ressource (49 p)
    Series Statement: 2017 WFA, SFS Cavalcade
    Content: When a group of investors with dispersed private information jointly invest in a risky project, how should they divide the project payoff? A typical common stock contract rewards investors in proportion to their initial investment, but does it make the best use of investors' crowd wisdom? By illustrating how a simple profit-sharing contract with decentralized decision making could often coordinate individuals' investment choices, this paper studies as a general contracting problem the role of profit sharing in harnessing the "wisdom of the crowd", and discusses specific implications for FinTech applications such as the security design of investment crowdfunding
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 5, 2018 erstellt
    Language: English
    DOI: 10.2139/ssrn.2844335
    URL: kostenfrei
    URL: kostenfrei
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  • 7
    Online Resource
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    Slow Price Adjustment to Public News in After-Hours Trading (2019)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1790833299
    Format: 1 Online-Ressource
    Content: Almost all U.S. firms now announce earnings outside of regular trading hours. This paper studies how stock prices incorporate information in after-hours trading. I find slow prices adjustment accompanied by significant trading volume. During 2002-2012, 5,881 rule-based trading opportunities generate an average return of 1.53% within four hours. After costs (assessed by a trading experiment), an investor who properly exploits the slow adjustment beats the market by 11.5% per year. The slow price adjustment persists under various levels of investor inattention, limited arbitrage capital, and short-sale constraints
    Note: In: 'https://doi.org/10.3905/jot.2016.11.3.016' https://doi.org/10.3905/jot.2016.11.3.016 , Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 19, 2016 erstellt , Volltext nicht verfügbar
    Language: English
    DOI: 10.2139/ssrn.2379126
    URL: lizenzpflichtig
    URL: lizenzpflichtig
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  • 8
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    Information aggregation via contracting (2023)
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    UID:
    (DE-627)1852962593
    ISSN: 1540-6261
    In: The journal of finance, Berkeley, Calif. : AFA, 1946, 78(2023), 2 vom: Apr., Seite 935-965, 1540-6261
    In: volume:78
    In: year:2023
    In: number:2
    In: month:04
    In: pages:935-965
    Language: English
    Keywords: Aufsatz in Zeitschrift
    DOI: 10.1111/jofi.13205
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  • 9
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    Four-Way Stops (2022)
    [S.l.] : SSRN
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    UID:
    (DE-627)1833484363
    Format: 1 Online-Ressource (23 p)
    Series Statement: George Mason University School of Business Research Paper
    Content: Billions of people drive through crossroads every day. We investigate mechanisms ensuring orderly passing at crossroads and question the familiar practice of electing four stop signs in each direction, showing that it is not a Nash equilibrium for all drivers to abide by. Alternatively, we prove that electing only three stop signs induces universal abidance as a unique symmetric equilibrium. This equilibrium enjoys significant savings in drivers' time, infrastructure costs, carbon/pollutants emissions, and police expenditure. For example, for carbon emission reduction alone, the new mechanism is estimated to save at least 2.7 days of gas consumption annually
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 14, 2022 erstellt
    Language: English
    DOI: 10.2139/ssrn.4197885
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  • 10
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    On the Security of Optimistic Blockchain Mechanisms (2023)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1859654231
    Format: 1 Online-Ressource (41 p)
    Content: Many new blockchain applications (e.g., layer-2 scaling solutions, proof-of-stake layer-1 chains, and cross-chain bridges, etc.) adopt an “optimistic” design, that is, the system proceeds as if all participants are well-behaving, presumably sustained by some “stake-and-slash” mechanisms. We formulate the logic of such optimistic systems within a simple game and characterize all equilibria. We point out that such protocols cannot be secure if all participants are rational. Therefore, to ensure security, protocol designers have to either impose a trust assumption regarding the presence of altruistic participants or look for alternative designs (e.g., zero-knowledge proof-based designs)
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2023 erstellt
    Language: English
    DOI: 10.2139/ssrn.4499357
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