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Three Essays on Mechanism Design, Vo...

Bird, Daniel.

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Three Essays on Mechanism Design, Voluntary Disclosure and Asset Pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three Essays on Mechanism Design, Voluntary Disclosure and Asset Pricing./
作者:	Bird, Daniel.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	149 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
Contained By:	Dissertation Abstracts International77-11A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10117209
ISBN:	9781339786124

Three Essays on Mechanism Design, Voluntary Disclosure and Asset Pricing.
Bird, Daniel.

Three Essays on Mechanism Design, Voluntary Disclosure and Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 149 p.

Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.

Thesis (Ph.D.)--Northwestern University, 2016.

In the first chapter I study a dynamic principal-agent environment in which short-lived investment and compensation opportunities arrive stochastically over time. The agent privately observes whether investments or rewards are currently available, and can implement them if he has the principal's consent. There exists a unique optimal mechanism under which the agent is compensated by being allowed to enjoy the random number of rewards (of a certain type) that arrive in a given time interval. Interestingly, the principal allows expensive rewards before cheaper rewards are exhausted. Finally, under the mechanism investment opportunities that were forgone in the past can be incentivized at present.

ISBN: 9781339786124Subjects--Topical Terms:

1556984
Economic theory.

Three Essays on Mechanism Design, Voluntary Disclosure and Asset Pricing.
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500 $a Source: Dissertation Abstracts International, Volume: 77-11(E), Section: A.
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520 $a In the first chapter I study a dynamic principal-agent environment in which short-lived investment and compensation opportunities arrive stochastically over time. The agent privately observes whether investments or rewards are currently available, and can implement them if he has the principal's consent. There exists a unique optimal mechanism under which the agent is compensated by being allowed to enjoy the random number of rewards (of a certain type) that arrive in a given time interval. Interestingly, the principal allows expensive rewards before cheaper rewards are exhausted. Finally, under the mechanism investment opportunities that were forgone in the past can be incentivized at present.
520 $a The second chapter extends the canonical single-period model of voluntary costly disclosure to a dynamic setting with asymmetric information over disclosure costs. I show that dynamic incentives have an ambiguous effect on firms' disclosure decision and that the cost of disclosure no longer prevents full disclosure by all firms. My main results show that (1) there is a positive inter-temporal connection between disclosure at different periods, (2) dynamic incentives increase the firms' level of disclosure if and only if the expected cost of disclosure is below a critical threshold and (3) when the expected cost of disclosure is low enough, dynamic incentives lead firms to use a strategy of full disclosure.
520 $a In the third chapter I study an over-the-counter market in which the severity of search frictions (illiquidity) changes over time. I show that there exists a unique pricing function for the illiquid asset under which liquidity risk increases the value of the illiquid asset to investors, a prediction that is in line with the empirical evidence provided by (Chordia, Subrahmanyam & Anshuman 2001). Moreover, I show that fluctuations in the level of illiquidity increase the welfare of investors and decrease the profits of market-makers.
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