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Contagion and state dependent mutations
Full text linkEarly results of evolutionary game theory showed that the risk dominant equilibrium is uniquely selected on the long run by the best response dynamics with mutation. Bergin and Lipman (1996) qualified this result by showing that for a given population size the evolutionary process can select any strict Nash equilibrium if the probability of choosing a nonbest reply is state-dependent. This paper shows that the unique selection of the risk dominant equilibrium is robust with respect to state dependent mutation in local interaction games. More precisely, for a given mutation structure there exists a minimum population size beyond which the risk dominant equilibrium is uniquely selected. Our result is driven by contagion and cohesion among players, which exists only in local interaction settings and favors the play of the risk dominant strategy. Our result strengthens the equilibrium selection result of evolutionary game theor
Contagion and state dependent mutations
No full textEarly results of evolutionary game theory showed that the risk dominant equilibrium is uniquely selected in the long run under the best-response dynamics with mutation. Bergin and Lipman (1996) qualified this result by showing that for a given population size, the evolutionary process can select any strict Nash equilibrium if the probability of choosing a nonbest response is state-dependent. This paper shows that the unique selection of the risk dominant equilibrium is robust with respect to state dependent mutation in local interaction games. More precisely, for any given mutation structure there exists a minimum population size beyond which the risk dominant equilibrium is uniquely selected. Our result is driven by contagion and cohesion among players, which exist only in local interaction settings and favor the risk dominant strategy. Our result strengthens the equilibrium selection result of evolutionary game theory
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Essays in Financial Economics
Full text linkThis dissertation is comprised of two chapters, each of which contributes to the field of financial economics, particularly in the areas of behavioral and household finance."Corporate News, Asset Prices, and the Media" examines investor reaction to stale information using a novel data set containing a time-stamped transcript of the financial news network CNBC. I measure changes in stock price and trading volume at the precise time that a company is mentioned on CNBC in the 24 hours following a corporate news event, and find strong evidence that some investors react to stale news. There is a significant increase in stock price at the precise time that a company is mentioned on CNBC following a positive news event. Surprisingly, there is also a significant increase in stock price at the precise time that a company is mentioned on CNBC following a negative news event. This puzzle is not explained using observable differences between positive and negative news events or their subsequent mentions. Evidence using cross-sectional variation in the number of positive and negative words suggests that media attention can inflate asset prices in the presence of short-sale constraints as investors with the most optimistic valuations are able to buy while those with the most pessimistic valuations are unable to sell short."Outstanding Debt and the Household Portfolio," co-authored with my classmate Thomas A. Becker, alters a simple portfolio choice model to allow households to retire outstanding debt and realize a risk-free rate of return equal to the interest rate on that debt. Using the Survey of Consumer Finances we find that households with mortgage debt are 10 percent less likely to own stocks and 37 percent less likely to own bonds compared to similar households with no outstanding mortgage debt. To show that our results are not driven by irrational behavior amongst a subset of households, we construct two proxy variables for financial naivete. Finally we calculate the costs of non-optimal investment decisions in the presence of various forms of household debt including mortgages, home equity loans and credit card debt. We find that 26 percent of households should forego equity market participation on account of the high interest rates that they pay on their debt
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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Essays on Expectations-Based Reference-Dependent Consumption and Portfolio Choice
Full text linkThis dissertation studies the life-cycle consumption and portfolio-choice implications of a new preference specification called "expectations-based reference-dependent preferences" or "news utility." These preferences formalize the idea that news or changes in expectations about present and future consumption generate instantaneous utility, by which bad news hurts more than good news pleases. The preferences were developed by Koszegi and Rabin (2006, 2007, 2009) to discipline and broadly apply the insights of prospect theory and have since been shown to be consistent with evidence in various behavioral and micro domains. In this dissertation, I show that the preferences not only explain evidence in micro domains but also generate interesting predictions in classic finance and macro models.In the first part, I incorporate the preferences into a fully dynamic and stochastic life-cycle model to offer a new explanation for three major consumption facts -- excess smoothness and sensitivity in consumption, a hump-shaped consumption profile, and a drop in consumption at retirement. This new explanation relies on believable intuitions that are reminiscent of the micro evidence that the preferences were developed to explain and may provide new foundations for prominent ideas in the macro consumption literature. More precisely, excess smoothness and sensitivity, two prevailing macro consumption puzzles, are explained by loss aversion, a robust experimental risk preference, which has been assumed to explain the most important phenomena in behavioral economics. To explain the other life-cycle phenomena, the preferences combine precautionary savings, which have been studied extensively in the standard consumption literature, and an expectations-based time inconsistency, which is reminiscent of hyperbolic discounting.In the second part, I explore the quantitative asset-pricing implications of news utility in a canonical Lucas-tree model. I find that the preferences easily succeed in matching historical levels of the equity premium, its volatility, and the degree of predictability in returns. Moreover, I show that the preferences imply plausible risk attitudes towards small, medium, and large consumption and wealth gambles and thus make another step towards resolving the equity premium puzzle.In the third part, I extend the news-utility life-cycle model to portfolio choice. Beyond explaining predominant questions in the literature, such as non-participation in the presence of labor income, portfolio shares, and wealth accumulation, I put special emphasis on the question of how often the investor should pay attention to his portfolio. To answer this question, I consider a model in which the investor has access to a brokerage account, which he may or may not look up, and a checking account to finance inattentive consumption. As bad news hurt more than good news pleases, news utility results in a first-order decrease in expected utility and the investor refuses to look up his portfolio and rebalance most of the time. If he looks it up, however, he rebalances extensively. Moreover, the investor is subject to a commitment problem. He would like to precommit to being inattentive even more often because he does not overconsume out of his checking account. Consequently, the investor gains from engaging in mental accounting and would be happy to pay for investment tools that encourage inattention and rebalance actively, such as delegated portfolio management
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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