short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

speculative investor behavior and learning as traders learn about the true distribution of some asset s dividends a speculative premium occurs as each trader anticipates the possibility of reselling the asset to another trader before complete learning has occurred small differences in prior beliefs lead to large speculative premiums during the learning process this phenomenon helps explain a paradox concerning the pricing of initial public offerings the result casts light on the significance of the common prior assumption in economic models

a hedonic travel cost analysis for valuation of multiple components of site quality the recreation value of forest management abstract one benefit of managing forests is that one can alter the qualities of sites the value of changing site qualities however is generally not known this paper develops a formal hedonic travel cost model which can be used to estimate the value of both marginal and non marginal changes to sites the approach accommodates multiple simultaneous changes in site characteristics estimating this model using a set of permits from wilderness areas leads to revealed preference estimates of the recreational value of clear cuts old growth and nine other wilderness attributes

the dual structure of incomplete demand systems integrability of incomplete demand systems is discussed the concepts of weak integrability quasi expenditure function quasi indirect utility function and quasi utility function are defined their relationships to the expenditure function indirect utility function and utility function are developed the dual structure of the quasi functions permits exact welfare analysis and reveals the conditional preference structure for the commodities of interest new results relating the uniqueness and exactness of consumer s surplus to the structure of the expenditure and indirect utility functions are obtained

a utility consistent combined discrete choice and count data model assessing recreational use losses due to natural resource damage abstract a two stage budgeting approach can often be taken when analyzing consumer choice situations in this paper we examine the particular situation where a consumer makes purchases of a discrete commodity of which there are a number of brands in the first stage the consumer decides how many purchases to make in the second stage the consumer decides how to allocate these purchases across brands our econometric approach to this type of situation uses a utility consistent combined discrete choice and count data model the second stage which is specified as a multinomial choice model produces a price index for the commodity which is used to estimate the first stage which is specified as a count data model we apply the model to recreational demand behavior in alaska in order to estimate the welfare losses suffered by recreational users due to the exxon valdez oil spill these results may provide useful input to government agencies attempting to estimate the appropriate level of taxes fines or regulations for deterring damage to the environment

coordinating regime switches the canonical model of strategic complementarities between individual actions which exhibits multiple equilibria under perfect information is extended with heterogeneous agents and imperfect information agents observe their own cost of action and the history of the levels of aggregate activity the distribution of individual characteristics evolves through a random process and individuals are rational bayesians under plausible conditions there is a unique equilibrium with phases of high and low activity and random switches applications may be found in macroeconomics and revolutions

short sale constraints divergence of opinion and asset values evidence from the laboratory the overvaluation hypothesis miller 1977 predicts that a stocks are overvalued when there are short selling restrictions and that b the overvaluation is increasing in the degree of divergence of opinion we design an experiment that allows us to test these predictions in the laboratory our results support the hypothesis that prices are higher in the presence of short selling constraints the overvaluation does not depend on the degree of divergence of opinion

a repeated nested logit model of atlantic salmon fishing participation and site choice for atlantic salmon fishing are modeled in the context of a repeated three level nested logit model consumer s surplus measures are derived for different levels of species availability in the penobscot river the most important salmon river in new england for comparison six other travel cost models are estimated these include restrictive cases of the nested logit model a partial demand model and two single site demand models comparisons across these models indicate the importance of modeling the participation decision including income effects and of adopting a nested logit structure rather than a single level logit structure

effects of short sale ban on financial liquidity in crisis and non crisis periods a propensity score matching approach abstractwe investigate the impact of banning the short selling shorting ban on liquidity of stocks traded in the hong kong stock exchange hkex on the basis of the 20 revisions of the designated list of shortable stocks from january 2006 to december 2010 in order to avoid endogeneity due to the liquidity adaptive implementation of the ban policy we use the propensity score matching of shortable and unshortable stocks and apply the double and triple difference methods embedded in the fixed effect panel regression for the matched data using two outcome variables for illiquidity the amihud price impact measure and the bid ask spread our results suggests that the shorting ban in this market may have a liquidity supporting effect in terms of the price impact with no regard to market tranquility and in terms of the spread with regard to the 2008 2009 financial crisis

does short selling amplify price declines or align stocks with their fundamental values critics of short selling argue that short sellers amplify price declines by targeting firms with falling prices in an unwarranted manner contrary to this viewpoint we find that increases in short interest for firms following a price decline are associated with measures of overpricing based on financial statement analysis our results extend to short selling activity following marketwide declines we also find evidence consistent with the profitability of short selling following price declines being driven by valuation based positions overall our findings suggest short sellers primarily undertake valuation based strategies following price declines and have implications for regulators limiting short selling following price declines is likely to impede efficient price discovery this paper was accepted by mary barth accounting

annual fees and recreation choice models of recreation behavior have typically ignored the role of fixed annual fees such as the fee for a recreational license in determining choice and welfare we demonstrate how techniques from the literature on discrete continuous choice and two part tariffs can address a situation where fixed annual fees are essential to determining the choice of a recreation site we explore how accounting for value captured by fixed fees can influence the way resource changes are assessed

price discovery in euro area sovereign credit markets and the ban on naked cds abstract the sovereign debt crisis in the euro area saw credit spreads on sovereign bonds and credit default swaps cds surge for a number of member states the rise in sovereign yields was accompanied by a significant increase in sovereign cds market activity this pattern raised concerns that destabilising speculation via outright short selling of cds so called naked cds was behind the increase in bond yields in response policy makers introduced a ban on naked cds trading we investigate the effect of the ban on the price discovery process of sovereign credit risk contrasting results for the post ban period with those obtained prior to the ban we use intraday data on sovereign cds and bonds across a number of euro area countries our first main finding is that the cds market dominates the bond market in terms of price discovery that is cds premia in most cases adjust quicker to reflect new information than bond spreads this result holds also when taking into account transaction costs our second main finding is that the ban on short selling did not alter price discovery dynamics or reduce the efficiency of the market finally we find that prior to the ban cds spreads were persistently higher than bond credit spreads even after controlling for transaction costs this points to the presence of market frictions that limit the ability of arbitrage forces to fully close pricing gaps between the two markets however these pricing discrepancies were in many cases largely eliminated following the introduction of the ban

unique equilibrium in a model of self fulfilling currency attacks even though self fulfilling currency attacks lead to multiple equilibria when fundamentals are common knowledge we demonstrate the uniqueness of equilibrium when speculators face a small amount of noise in their signals about the fundamentals this unique equilibrium depends not only on the fundamentals but also on financial variables such as the quantity of hot money in circulation and the costs of speculative trading in contrast to multiple equilibrium models our model allows analysis of policy proposals directed at curtailing currency attacks

modeling recreation demand in a poisson system of equations an analysis of the impact of international exchange rates we extend count data travel cost modeling by developing a utility theoretic system of semilogarithmic recreation demand equations the restrictions required to make the system utility theoretic are applied during estimation the model is applied to individual wilderness recreation trips in a system of four canadian wilderness parks the resulting demand system is used to examine the impacts of changing u s canadian currency exchange rates on participation and welfare of u s recreationists

welfare losses due to livestock grazing on public lands a count data systemwide treatment backcountry hikers willingness to pay for removing grazing from trails in the hoover wilderness is analyzed using a multinomial dirichlet negative binomial distribution this multivariate discrete distribution allows the direct calculation of seasonal welfare measures that are derived from an incomplete demand specification the welfare maximizing choice of activities is examined on a trail by trail basis using the results of the analysis our findings suggest that a mix of hiking and grazing activities provide the greatest social welfare

initial shareholdings and overbidding in takeover contests within the context of takeovers this paper shows that in private value auctions the optimal individually rational strategy for a bidder with partial ownership of the item is to overbid i e to bid more than his valuation this strategy however can lead to i an inefficient outcome and ii the winning bidder making a net loss further the overbidding result implies that the presence of a large shareholder increases the bid premium in single bidder takeovers at the expense of reducing the probability of the takeover actually occurring

evaluation of nonmarket goods recovering unconditional preferences a new approach is proposed for the evaluation of nonmarket goods starting from a complete or incomplete conditional demand system for market goods which is observable and depends on nonmarket goods this information is not sufficient to recover the underlying preference ordering of the representative consumer the central idea is to employ additional marginal willingness to pay functions for the nonmarket goods since they can be estimated either together with the demand system or in a separate step they are less arbitrary than the assumptions or hypotheses usually made if the entire system is weakly integrable the underlying ordering and appropriate welfare measures can be derived in this article i investigate the relationship between conditional and unconditional demand systems present sufficient conditions for weak integrability and demonstrate the practicability of the procedure proposed by means of three examples

applied welfare economics with discrete choice models economists have been paying increasing attention to the study of situations in which consumers face a discrete rather than a continuous set of choices such models are potentially very important in evaluating the impact of government programs upon consumer welfare but very little has been said in general regarding the tools of applied welfare economics indiscrete choice situations this paper shows how the conventional methods of applied welfare economics can be modified to handle such cases it focuses on the computation of the excess burden of taxation and the evaluation of quality change the results are applied to stochastic utility models including the popular cases of probit and logit analysis throughout the emphasis is on providing rigorous guidelines for carrying out applied work this abstract was borrowed from another version of this item

why does the option to stock volume ratio predict stock returns we use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature we find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than trades related to synthetic long positions purchases of calls that open new positions are the strongest predictor of returns followed by call sales that close out existing purchased call positions overall our results indicate that the role of options in providing embedded leverage is the most important channel why option trading predicts stock returns

skewness short interest and the efficiency of stock prices abstractwe examine the association between return skewness short interest and the efficiency of stock prices since preferences for skewness have been shown to impact asset prices we examine how skewness relates to market efficiency we find that stocks with positive skewness are less efficient which might be explained by investor preferences for positive skewness next we document that short interest reduces both total skewness and idiosyncratic skewness finally while research has shown that short selling can improve the efficiency of markets generally we show that short interest s ability to improve market efficiency is strongest in stocks with the highest skewness

determinants of demand for recreational walking trails in ireland abstract the purpose of this work is to explore how recreational walkers marginal willingness to pay for or travel to irish trails is affected by trail attributes we use principal components data reduction z score data normalization and ols regression analyses on two stated preference datasets covering 302 irish and foreign visitors and recreational experts across 15 sites in ireland between 2005 and 2010 findings reveal that endowment and infrastructure attributes emerge as primary influences affecting demand in particular flat or valley endowed trails and infrastructure including signage amenities and maps or leaflets positively affect demand additionally robustness checks suggest farmer access agreements may also be important on the other hand we find that mountain or hill forest and coastal or lake trails as well as income seem to be negatively associated with demand finally we are able to use these in sample results to extrapolate demand for a set of new relatively unimproved trails in an out of sample demand prediction exercise

tobin s q and the gains from takeovers this paper analyzes the relation between takeover gains and the q ratios of targets and bidders for a sample of 704 mergers and tender offers over the period 1972 1987 target bidder and total returns are larger when targets have low q ratios and bidders have high q ratios the relation is strengthened after controlling for the characteristics of the offer and the contest this evidence confirms the results of the work by lang stulz and walkling and shows that their findings also hold for mergers and after controlling for other determinants of takeover gains in a recent paper lang stulz and walkling lsw 1989 document that the abnormal returns in tender offers are related to the tobin s q ratios of the targets and the bidders in particular they find that target bidder and total returns are higher when takeover targets have high q ratios and bidders have low q ratios where one is used as a cutoff point to separate high q firms from low q firms in fact bidders with high q ratios have significant positive abnormal returns when they engage in a takeover while bidders with low q ratios have significant negative abnormal returns the best takeovers in terms of value creation are those where a high q firm takes over a low q firm the opposite scenario holds for the worst case takeovers low q firms taking over high q firms if q is interpreted as a measure of managerial performance these findings imply that better performing firms also make better acquisitions and that more value can be created from taking over poorly performing companies while the results of lsw are insightful they leave a number of questions unanswered their sample consists only of tender offers several studies have documented that the returns to targets in mergers are smaller than those in tender offers see jensen and ruback 1983 and huang and walkling 1987 it would therefore be useful to see whether the lsw 1989 results hold for a larger sample which includes both mergers and tender offers previous research has also shown that the characteristics of the takeover hostile versus friendly and single versus multiple bidder the form of payment cash versus securities the time period before 1968 1968 1980 1981 and later and the relative size of target and bidder are important determinants of the magnitude of takeover gains and their distribution

short sale constraints information acquisition and asset prices abstract during financial crises financial market regulators often restrict short selling to support prices and curb volatility however evidence suggests that short selling bans during the turmoil in financial markets in 2007 2009 failed to achieve regulators goals we analyze a model of costly private information acquisition and asset pricing under short sale constraints to examine a possible cause of this failure we show that the constraints increase return volatility by adversely affecting the production of private information when investors are highly risk averse or are holding highly correlated risky assets the distortion in private information production arising from imposing short sale constraints leads to undervaluation implying that imposing short selling bans during economic crises not only fails to curb volatility but also may fail to support prices

recreation nonparticipation as choice behavior rather than statistical outcome in recreation demand models nonparticipation is usually estimated as the probability mass on zero demand given a positive level of expected demand and a discrete distribution of demand outcomes researchers have attempted to improve predictions of nonparticipation by modifying the parameters of the demand distribution this study departs from previous approaches by explicitly incorporating nonparticipation into the behavioral model the choice to participate is described by a distribution of preferences combined with a choke price on individual demands to distinguish participants from nonparticipants the model is found to accurately predict nonparticipation and the size of the user group copyright 2008 oxford university press

short selling constraints as cause for price distortions an experimental study in this paper we explore the influence of the possibility to short stocks and or borrow money in laboratory markets a key innovation of our study is that subjects can simultaneously trade two risky assets on two double auction markets allowing us to differentiate between assets with relatively high versus low capitalization divergence of opinions is created by providing each trader with noisy information on the intrinsic values of both assets we find that when borrowing money or shorting stocks is restricted prices are systematically distorted specifically stocks with high low capitalization are traded at lower higher prices than their fundamental value lifting the restrictions leads to more efficient prices and more liquidity thereby also lowering volatility and bid ask spreads

a model of dynamic limit pricing with an application to the airline industry we develop a dynamic limit pricing model where an incumbent repeatedly signals information relevant to a potential entrant s expected profitability the model is tractable with a unique equilibriu

short sales constraints and price discovery evidence from the hong kong market short sales practices in the hong kong stock market are unique in that only stocks on a list of designated securities can be sold short by analyzing the price effects following the addition of individual stocks to the list we find that short sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists these findings are consistent with miller s 1977 intuition and other optimism models we also document higher volatility and less positive skewness of individual stock returns when short sales are allowed the question of how short sales impact capital markets is highly controversial with short sale regulations varying widely across countries and capital markets 1 although short selling has been carried out for years in major financial markets around the world its effects on market efficiency especially on pricing efficiency remain of interest to financial researchers miller 1977 theorizes that in the presence of short sales constraints security prices tend to reflect a more optimistic valuation than the average opinion of potential investors and thus tend to be upward biased this overvaluation argument is based on two conditions 1 a security s short sales are either prohibited or costly and 2 investors have heterogeneous beliefs or information about the security s value the underlying intuition is quite straightforward pessimistic investors are forced to sit out of the market when short sales are not available and thus some negative information is not reflected in prices enabling enthusiastic buyers to bid prices above the level that average investors perceive as fair this argument has significant implications for market efficiency theories since one of the major functions of capital markets is price discovery indeed an efficient market should be a market in which prices always

strategic merger waves a theory of musical chairs this paper proposes an explanation of merger waves based on the interaction between competitive pressure and irreversibility of mergers in an uncertain environment a set of acquirers compete over time for scarce targets at each point in time an acquirer can either postpone a takeover attempt or raid immediately by postponing the takeover attempt an acquirer may gain from more favorable future market conditions but runs the risk of being preempted by rivals first a complete information model is considered and it is shown that the above tradeoff leads to a continuum of subgame perfect equilibria in monotone strategies that are strictly pareto ranked all these equilibria share the feature that all acquirers rush simultaneously in merger waves the model is then extended to a dynamic global game by introducing slightly noisy private information about merger profitability this game is shown to have a unique markov perfect bayesian equilibrium in monotone strategies and the timing of the merger wave can thus be predicted last the comparative dynamics predictions of the model are related to stylized facts

when r2 meets the short sales constraints we examine the short selling in the hong kong stock market and find that after the lift of short sales constraint the r2 increases contradicting the traditional wisdom that r2 is a proxy of price inefficiency moreover the change of r2 is from the decrease in idiosyncratic volatility

efficiency and the bear short sales and markets around the world we analyze cross sectional and time series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices we find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced a common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic we find strong evidence that in markets where short selling is either prohibited or not practiced market returns display significantly less negative skewness

short sales and speed of price adjustment evidence from the hong kong stock market abstract we present empirical evidence that short sales contribute to market efficiency by increasing the speed of price adjustment to not only private public firm specific information but also market wide information shortable stocks are characterized by weaker trade continuity and stronger quote reversals they adjust faster to new information than non shortable counterparts these findings remain robust even in an up market condition in which short sales are not binding the amount of information incorporated in each trade is also significantly higher for shortable than non shortable stocks in both up and down market conditions after controlling for firm size trading volume liquidity price and option trading short sales stand out as one of the significant factors that speed up the price adjustment

the informational effects of restrictions on short sales some empirical evidence in a world of heterogeneous investors a competitive financial market has two major functions first it is the mechanism by which ownership of the existing supply of risky assets is distributed among investors this is the role which is analyzed in detail by the standard capital asset pricing model capm and its many extensions the second important market function is to aggregate the diverse information held by different investors into a single price most versions of the capm eliminate the information aggregation function by assuming that investors hold homogeneous beliefs with respect to the probability distribution of asset returns exceptions which deal with some aspects of the problem are lintner 7 grossman 4 grossman and stiglitz 5 and figlewski 1 3

price convexity and skewness this paper develops a model in which investors who are prohibited from short selling agree to disagree on the precision of a publicly observed signal the model implies that the equilibrium price is a convex function of the public signal the model predicts that 1 the stock price reacts more to good news than to bad news 2 the skewness of stock returns is positively correlated with contemporaneous returns but negatively correlated with lagged returns 3 short sale constraints increase rather than decrease skewness and 4 disagreement about information precision increases skewness empirical tests conducted find supportive evidence for all these predictions

short sales and stock price crash risk evidence from an emerging market abstract using a regulatory change in china as an exogenous shock we find that the removal of short sales constraints increases stock price crash risk this relation is attenuated when firms suffer less from information asymmetry highlighting the effect of interaction between uninformed and informed investors

signaling in a global game coordination and policy traps this paper introduces signaling in a global game so as to examine the informational role of policy in coordination environments such as currency crises and bank runs while exogenous asymmetric information has been shown to select a unique equilibrium we show that the endogenous information generated by policy interventions leads to multiple equilibria the policy maker is thus trapped into a position in which self fulfilling expectations dictate not only the coordination outcome but also the optimal policy this result does not rely on the freedom to choose out of equilibrium beliefs nor on the policy being a public signal it may obtain even if the policy is observed with idiosyncratic noise

dynamic debt runs we develop a dynamic model of debt runs on a rm which invests in an illiquid asset by rolling over staggered short term debt contracts i e dierent contracts mature at dierent times we derive a unique threshold equilibrium in which creditors coordinate their asynchronous rollover decisions based on the rm s publicly observable and time varying fundamental the coordination problem ampli es the creditors concerns about the rm s future rollover risk created by its time varying fundamental and causes each maturing creditor to run ahead of others even when the current fundamental is substantially higher than its liability our model provides a set of implications on the roles played by volatility illiquidity and debt maturity in driving debt runs as well as on rms capital adequacy standards and credit risk

efficient ex ante stabilization of firms abstract distressed firms are vulnerable to inefficient panic based runs of their workers suppliers and customers a policymaker may try to prevent such a run by pledging to protect the interests of these stakeholders should a firm cease to do business however this promise also enables the firm to demand better terms of trade from its stakeholders which blunts the policy s effectiveness we show how to avoid such an adverse response by the use of partial countercyclical insurance under certain conditions such a scheme costlessly implements the first best outcome in the limit as the stakeholders information becomes precise we also identify least cost efficient schemes in the cases of large noise learning and duopoly

using count data models in travel cost analysis with aggregate data estimators of recreational demand models frequently use continuous functional forms such as ordinary least squares ols on log transformed variables e g ziemer musser and hill however the nature of trip demand introduces complicating factors first trips occur in nonnegative quantities failure to control for this censoring will lead to biased estimation second because trips are available only in integer quantities the usual demand models which correlate marginal quantity with marginal price may be inapplicable in light of these factors a natural alternative is to use statistical models that explicitly recognize the count nature of trip demand several recent papers e g shaw smith grogger and carson creel and loomis have applied count models to the travel cost model these works largely have focused on truncated data sets based on choice based samples in this study the focus is on the older problem where zero demanders are included in particular the application of several robust estimators of count models to aggregated data will be considered the poisson distribution forms the foundation for the count models examined in this study although the poisson is a convenient distribution to work with it imposes some stringent constraints on the demand distribution in particular the poisson distribution assumes the variance of trip demand is equal to the expected value of trip demand to loosen these constraints a generalization of the poisson the negative binomial is discussed robust estimation procedures that permit further loosening of a priori assumptions are then reviewed permit data from the boundary waters canoe area are used to examine the effects of these count models on consumer surplus estimates and on coefficient variability

potential pilot problems treatment spillovers in financial regulatory experiments abstract the total effects of a regulatory change consist of direct effects and indirect effects spillovers but the standard difference in difference approach mostly ignores potential indirect effects during the 2007 full repeal of the uptick rule short sellers become much more aggressive across the board even in control stocks where the uptick rule is already suspended this finding is consistent with positive and significant indirect effects on control stocks likely driven by aggressive broad list based shorting in contract the indirect effect coefficients on shorting aggressiveness are negative for the 2005 partial uptick repeal possibly due to substitutions between control and treatment stocks

a discrete count model of recreational demand abstract discrete choice models generate welfare measures resulting from environmental quality changes on a per trip basis instead of over a longer more policy relevant time period seasonal or annual welfare measures resulting from a quality change are often computed by multiplying each individual s per trip welfare measure by the number of trips the individual is forecasted to take at the new quality level these models are typically formulated so that increases in the quality of any site causes every individual to increase his or her participation this paper presents an alternative method of linking the discrete choice model to a demand model enabling welfare changes to be estimated in a conventional manner

heterogeneity and stability bolster the strong not the weak we first study a stylized model of self fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems the panic trigger threshold can depend only on one type s fragility we then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers concerns about potential spillovers generate strategic interaction triggering a pre emption game in which one tries to exit the market before others to avoid spillovers although financial contagion originates in weaker institutions systemic risk can critically depend on financial health of stronger in the contagion chain in this case bolstering the strong rather than the weak more effectively enhances systemic stability

rational frenzies and crashes most markets clear through a sequence of sales rather than through a walrasian auctioneer because buyers can decide whether to buy now or later rather than only now or never their current willingness to pay is much more sensitive to price than the demand curve is a consequence is that markets will be extremely sensitive to new information leading to both frenzies in which demand feeds on itself and crashes in which price drops discontinuously the paper also shows how a result from static auction theory the revenue equivalence theorem can be applied to solve for a dynamic price path

a new approach to random utility modeling using the dirichlet multinomial distribution in this paper we introduce a new econometricapproach to analyzing recreational site choicedata the dirichlet multinomial model thismodel which nests the standard conditionalmultinomial logit model can accommodateover dispersed data and may provide moreefficient estimators of coefficients andconsequent welfare measures than the standardconditional logit model which is so widelyused in the random utility model approach torecreation demand we illustrate thisdirichlet approach using a data set of rockclimbers in scotland and study the impacts onper trip consumers surplus of alternativemanagement strategies for popular rock climbingsites results show that the dirichletmultinomial approach produces coefficient andwelfare estimates having smaller samplingvariability in this case we also compareclassical welfare measures with their posteriorequivalents which allow for welfare changes tobe dis aggregated

the triggers and clustering properties of merger waves abstractthis article studies the triggers and the agglomeration of mergers and acquisitions m a activity within clusters constituted by time market and industry based on almost 500 000 individual transactions we find that industry factors play a significant role in triggering activity and that m a agglomerates strongly across related industries while clustering in time turns out to be insignificant stock market effects can be either an attracting or a repelling force depending on the type of deal examined this supports the view that merger waves are largely driven by industry shocks

learning and information aggregation in an exit game we analyze information aggregation in a stopping game with uncertain common payos players learn from their own private experiences as well as by observing the actions of other players we give a full characterization of the symmetric mixed strategy equilibrium and show that information aggregates in randomly occurring exit waves observational learning induces the players to stay in the game longer the equilibria display aggregate randomness even for large numbers of players

regulatory policy design for agroecosystem management on public rangelands this paper analyzes regulatory design for agroecosystem management on public rangelands we present an informational and institutional environment where three of the most prominent regulatory instruments on public rangelands input regulation cost sharing taxation and performance regulation can be de ned and compared the paper examines how the optimal regulation is shaped by the informational and institutional constraints faced by federal land management agencies flmas such as the bureau of land management and the u s forest service these constraints include informational asymmetries between ranchers and flmas limitations on flmas ability to monitor ranch level ecological conditions and constraints on flmas actions due to budget limitations and restrictions on the level of penalties they can assess the theoretical model extends the previous work of baker 1992 prendergast 2002 and hueth and melkonyan 2009 by considering optimal regulation by a budget constrained regulator in an environment of asymmetric information and moral hazard

arbitrage short sales and financial innovation the authors describe a model of general equilibrium with incomplete markets in which firms can innovate by issuing arbitrary costly securities when short sales are prohibited firms behave competitively and equilibrium is efficient when short sales are allowed these classical properties may fail if unlimited short sales are allowed imperfect competition may persist even when the number of potential innovators is large if limited short sales are allowed perfect competition may obtain in the limit but equilibrium can be inefficient because of the presence of an externality the private benefits of innovation for firms differ from the social benefits copyright 1991 by the econometric society

preemption and rent equalization in the adoption of new technology we study the adoption of a new technology to illustrate the effects of preemption in games of timing we show that the threat of preemption equalizes rents in a duopoly but that this result does not extend to the general oligopoly game if the gain to preemption is sufficiently small then the optimal symmetric outcome which involves late adoption is an equilibrium this contrasts with reinganum s result that in precommitment equilibria there must be diffusion we develop a new and richer formalism for modeling games of timing which permits a continuoustime representation of the limit of discrete time mixed strategy equilibria

monotone comparative statics under uncertainty this paper analyzes monotone comparative statics predictions in several classes of stochastic optimization problems the main results characterize necessary and sufficient conditions for comparative statics predictions to hold based on properties of primitive functions that is utility functions and probability distributions the results apply when the primitives satisfy one of the following two properties i a single crossing property which arises in applications such as portfolio investment problems and auctions or ii log supermodularity which arises in the analysis of demand functions affiliated random variables stochastic orders and orders over risk aversion

connecting supply short sellers and stock returns research challenges abstract one key challenge for the short selling literature is to identify the incremental contribution of various measures of short sale constraints although variables such as loan fee loan supply and short interest are determined simultaneously in the market for borrowing stock new incremental information may be found in each variable examined papers such as beneish et al 2015 attempt to disentangle the effect of one particular variable and attempt to shed light on the parallel challenge faced by investors in determining which variables will make the most impact on returns as well as trading costs we discuss a number of practical approaches to this challenge and we also consider a potentially new take that considers accounting data driven anomalies as one of the possible exogenously determined variables in the equilibrium of the equity loan market

brand choice and purchase frequency revisited an application to recreation behavior the role that total purchases play in determining the choice among brands has been considered in microeconomic theory for quite some time but for traditional goods only consumption of outdoor recreation is an unusual good most often measured using an individual s recreational trip adding the trips made on a number of choice occasions seems the obvious way to aggregate this good but doing so leads to several problems in defining a meaningful price index the hicks leontief conditions for aggregation suggest that trips to destinations may be thought of as brand choices on consumption occasions andthe continuous analogue to total purchases may in fact be the individual s total travel an empirical example of the model is used to estimate welfare impacts for a group of anglers

does short sale restriction lower price efficiency when substitutes exist evidence from the korean market using kospi200 index options futures and warrants this study examines the effect of short sale restriction on price efficiency by circumventing the concerns regarding firm characteristics market conditions and limited information acquisition of investors in previous empirical studies this study finds that warrants are as price efficient as other derivatives products after market conditions are considered even though warrant investors cannot short sell this finding provides an example that short sale restriction on some assets may not hinder market efficiency if there are close substitutes for those assets in the market

are there waves in merger activity after all this paper investigates the merger wave hypothesis for the us and the uk employing a markov regime switching model using quarterly data covering the last thirty years for the us we identify the beginning of a merger wave in the mid 1990s but not the much discussed 1980s merger wave we argue that the latter finding can be ascribed to the refined methods of inference offered by the gibbs sampling approach as opposed to the us mergers in the uk exhibit multiple waves with activity surging in the early 1970s and the late 1980s

volume volatility and the dispersion of beliefs i examine a two period noisy rational expectations model of a futures market and show that the dispersion of expectations about a weighted average of future prices measures both the additional volatility and the additional expected volume of trade associated with noisy information the role played by dispersion helps clarify several stylized facts concerning volume and price behavior specifically dispersion can be a factor contributing to the positive correlation between volume and absolute price changes and the positive correlation between consecutive absolute price changes article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

delay and information aggregation in stopping games with private information abstract we consider equilibrium timing decisions in a model with a large number of players and informational externalities the players have private information about a common payoff parameter that determines the optimal time to invest they learn from each other in real time by observing past investment decisions we develop new methods of analysis for such large games and we give a full characterization of symmetric equilibria we show that the equilibrium statistical inferences are based on an exponential learning model although the beliefs converge to truth learning takes place too late ex ante welfare is strictly between that without observational learning and that with full information

mergers and the market for organization capital abstract in this paper mergers are an equilibrium outcome in which acquirers marry targets so as to gain access to their organization capital firms with lower learning costs about the new technology are not necessarily those that manage it best once it is mature since there are gains from trade a market for organization capital can arise through mergers this model generates a merger wave after a shock to technology and is consistent with several other stylized facts on mergers documented in the literature

short selling margin trading and price efficiency evidence from the chinese market abstract china launched a pilot scheme in march 2010 to lift the ban on short selling and margin trading for stocks on a designated list we find that stocks experience negative returns when added to the list after the ban is lifted price efficiency increases while stock return volatility decreases panel data regressions reveal that intensified short selling activities are associated with improved price efficiency short sellers trade to eliminate overpricing by selling stocks with higher contemporaneous returns following a downward trend and their trades predict future returns in contrast we find intensified margin trading activities for stocks with lower contemporaneous returns and these trades have no return predictive power