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نتیجه جستجو - Information structure

تعداد مقالات یافته شده: 4
ردیف عنوان نوع
1 The effect of information structure on farmland contractual choice: toward a revised theory of share tenancy with new evidence from Guangdong, China
تأثیر ساختار اطلاعات بر انتخاب قراردادی زمین های کشاورزی: به سوی نظریه تجدید نظر شده در مورد اجاره سهم با شواهد جدید از گوانگدونگ ، چین-2020
We develop a theoretical model to identify optimal farmland contracts for lessors under different information structures. Under complete information, a fixed-rent contract is hypothesized to be the optimal institutional arrangement. Conversely, a share contract is found to be the best choice under incomplete information. Assuming that contracts between lessors and tenants from the same village operate under complete information and that contracts with tenants from outside the village operate under incomplete information, the empirical results confirm both hypotheses by showing that lessors with incomplete information have a lower probability of choosing a fixed-rent contract compared to lessors with complete information.
Keywords: Fixed-rent and share contracts | Information structure | Propensity score matching
مقاله انگلیسی
2 An AI Model for Oil Volatility Forecasting
یک مدل هوش مصنوعی برای پیش بینی نوسانات نفت-2020
Abstract—By introducing a genetic algorithm learning with a classifier system, we construct an AI model for oil volatility forecasting on the basis of Internal Information and External Information. The model provides decision support for mark-to-market portfolio and risk management by forecasting whether 1-day-ahead volatility is above a given threshold. Moreover, we explore the dynamic influencing mechanism of different types of information through information usage frequency in the learning process. In particular, we find that the jump component of oil realized volatility is efficient only in bull market, and currency information contributes most rather than oil information in bear market. Therefore, this article provides an AI method to forecast oil volatility as well as to improve the information structure of forecasting models.
مقاله انگلیسی
3 The structure of information release and the factor structure of returns
ساختار افشای اطلاعات و ساختار عاملی بازگشت ها-2018
We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism’s empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML’s seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to-market, exposures to SMB and HML vary with firms’ earnings announcement month.
keywords: Earnings announcements |CAPM|Factor models |SMB|HML
مقاله انگلیسی
4 Belief-free price formation
شکل گیری قیمت آزاد از اعتقاد-2018
We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers’ pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model’s predictions are robust to different specifications of the dealers’ information structure. These equilibria reconcile, in a unified and parsimonious framework, price dynamics that are reminiscent of well-known stylized facts: excess price volatility, price to trading flow correlation, stochastic volatility and inventory-related trading.
keywords: Financial market microstructure |Informed dealers |Price volatility |Belief-free equilibria
مقاله انگلیسی
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