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Essays on information, search, money...

Choi, Yu Fai.

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Essays on information, search, money and finance.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays on information, search, money and finance./
作者:	Choi, Yu Fai.
面頁冊數:	104 p.
附註:	Source: Dissertation Abstracts International, Volume: 74-11(E), Section: A.
Contained By:	Dissertation Abstracts International74-11A(E).
標題:	Economics, General. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3588905
ISBN:	9781303273490

Essays on information, search, money and finance.
Choi, Yu Fai.

Essays on information, search, money and finance. - 104 p.

Source: Dissertation Abstracts International, Volume: 74-11(E), Section: A.

Thesis (Ph.D.)--The University of Wisconsin - Madison, 2013.

The mortgage-backed security (MBS) market has been criticized for creating many uninformed asset owners during the financial crisis. Empirical evidence suggests the MBS originators' private information concerning asset quality is imperfectly transmitted to the current owners, primarily due to adverse selection. The first chapter studies the creation of uninformed asset owners and their impact on trading outcomes. I introduce a tractable model of frictional asset markets with adverse selection and learning. As a key new feature, the asset buyers cannot fully inherit the asset owners' private information after a trade. Consequently, new owners are uninformed and gradually learn about their assets' quality. I find that as long as the learning speed is above zero, trade efficiency is the highest when asset owners learn their asset's quality immediately. This stands in sharp contrast to Hirshleifer (1971), Andolfatto (2010) and Dang, Gorton and Holmstrom (2010), who suggest trade efficiency is higher when all agents are symmetrically uninformed. I also find that welfare and trading volume are monotonically increasing in learning speed when learning is fast and price dispersion arises when learning is slow.

ISBN: 9781303273490Subjects--Topical Terms:

1017424
Economics, General.

Essays on information, search, money and finance.
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300 $a 104 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-11(E), Section: A.
500 $a Adviser: Randall Wright.
502 $a Thesis (Ph.D.)--The University of Wisconsin - Madison, 2013.
520 $a The mortgage-backed security (MBS) market has been criticized for creating many uninformed asset owners during the financial crisis. Empirical evidence suggests the MBS originators' private information concerning asset quality is imperfectly transmitted to the current owners, primarily due to adverse selection. The first chapter studies the creation of uninformed asset owners and their impact on trading outcomes. I introduce a tractable model of frictional asset markets with adverse selection and learning. As a key new feature, the asset buyers cannot fully inherit the asset owners' private information after a trade. Consequently, new owners are uninformed and gradually learn about their assets' quality. I find that as long as the learning speed is above zero, trade efficiency is the highest when asset owners learn their asset's quality immediately. This stands in sharp contrast to Hirshleifer (1971), Andolfatto (2010) and Dang, Gorton and Holmstrom (2010), who suggest trade efficiency is higher when all agents are symmetrically uninformed. I also find that welfare and trading volume are monotonically increasing in learning speed when learning is fast and price dispersion arises when learning is slow.
520 $a The second chapter extends the economic theory of wage search with outside options, as in Weitzman (1979), to characterize optimal behavior within a nonstationary web search engine environment. We introduce a statistical notion of search engine accuracy that corresponds to the engine's economic value, in the same spirit as Blackwell's (1951,1953) comparison of experiments. We find that the average search time, "click through rate" (CTR) and the chance of using the back button are all non-monotone functions of search engine accuracy.
520 $a Consequently, popular measures of search engine quality are misleading. Moreover search engine users with different outside options could respond in opposite ways as search engine accuracy increases. We also propose a new method to test for improvement in search engine accuracy by utilizing the users' clicking behavior. In addition, we explore how the web search engine link captions affect these measures.
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650 4 $a Economics, Finance. $3 626650
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