RIEBセミナー

International Symposium on Incomplete Markets

2022年6月27日(月)15:10 ~ 17:20

International Symposium on Incomplete Markets

RIEBセミナー/六甲台セオリーセミナー/六甲フォーラム 共催

日時 2022年6月27日(月)15:10 ~ 17:20
会場 ハイブリッド(対面開催/ZOOMを使ったオンライン開催)
対象 教員、院生、および同等の知識をお持ちの方
使用言語 英語
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参加登録 (締切:6/23)
15:10 ~ 16:10
論題
The Arbitrage Pricing Theory in Incomplete Markets
報告者
Michael ZIERHUT (Institute of Financial Economics, Humboldt University)
概要
The arbitrage pricing theory (APT) is traditionally viewed as a descriptive theory: If asset prices are decomposed into systematic and idiosyncratic components, the latter are negligible for almost all assets in large markets. This paper analyzes its role as a predictive theory: When prices of systematic risk factors are estimated by means of linear regression, these estimates are a lower-dimensional representation of a pricing kernel. Such estimates can be used to predict arbitrage-free prices for new assets. Market structure matters: When markets are complete, there is a unique pricing kernel and factor pricing is always arbitrage-free. When markets are incomplete, this method may select a nonpositive pricing kernel. This leads to a problem that is robust in a topological sense: For an open set of arbitrage-free markets, estimated factor models do not assign arbitrage-free prices out of sample. The critical assumption is therefore not that markets grow large, but that markets grow complete.
16:20 ~ 17:20
論題
Third-Party Sale of Information
報告者
In-Uck PARK (School of Economics, University of Bristol)
概要
We study design and pricing of information by a monopoly information provider for a buyer in a trading relationship with a seller. The profit-maximizing information structure has a binary threshold character. This structure is inefficient when seller production cost is low. Compared with a situation of no information, the information provider increases welfare if cost is high but reduces it if cost is low. A monopoly provider creates higher welfare than a competitive market in information if the prior distribution of buyer valuations is not too concentrated. Giving the seller a veto over the information contract generates full efficiency.
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