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Jean-Paul Décamps, and Stéphane Villeneuve
vol. 23, n. 1, January 2019, pp. 1–28
We study a corporate finance dynamic contracting model in which the firm's growth rate fluctuates and is impacted by the unobservable effort exercised by the manager. We show that the principal's problem takes the form of a two-dimensional Markovian control problem. We prove regularity properties...
Christian Gouriéroux, and Joann Jasiak
vol. 9, January 2019, pp. 14–41
The martingale hypothesis is commonly tested in financial and economic time series. The existing tests of the martingale hypothesis aim at detecting some aspects of nonstationarity, which is considered an inherent feature of a martingale process. However, there exists a variety of martingale...
Gladys Barragan, Cristina Atance, Astrid Hopfensitz, Jonathan Stieglitz, and Maxime Cauchoix
vol. 10, n. 2719, January 2019
Dirk Bergemann, Alex Smolin, and Alessandro Bonatti
vol. 108, n. 1, 2018, pp. 1–48
A data buyer faces a decision problem under uncertainty. He can augment his initial private information with supplemental data from a data seller. His willingness to pay for supplemental data is determined by the quality of his initial private information. The data seller optimally offers a menu of...
Emmanuelle Auriol, and Alexia Lee Gonzalez
2018
Christian Belzil, Michael Bognanno, and François Poinas
vol. 46, 2018, pp. 73–106
This chapter estimates a dynamic reduced-form model of intra-firm promotions using an employer–employee panel of over 300 of the largest corporations in the United States in the period from 1981 to 1988. The estimation conditions on unobserved individual heterogeneity and allows for both an...
Mohamed Saleh
Jean-Paul Carvalho, Sriya Iyer, and Jared Rubin (eds.), Palgrave Macmillan, December 2018
Claire Borsenberger, Lisa Chever, Helmuth Cremer, Denis Joram, and Jean-Marie Lozachmeur
Timothy J. Brennan, Victor Glass, and Pier Luigi Parcu (eds.), 2018
Carole Haritchabalet
Xavier Bioy (ed.), 2018
Jean-Charles Rochet, and Délia Coculescu
vol. 28, n. 1, 2018, pp. 5–28
The aim of this paper is to put forward a new family of risk measures that could guide investment decisions of private companies. But at the difference of the classical approach of Artzner, Delbaen, Eber, and Heath and the subsequent extensions of this model, our risk measures are built to reflect...
