Erik Lindahl’s Pricing Problem in a Two-Period Model

2021 ◽  
pp. 1-11
Author(s):  
Alexander Tobon
Keyword(s):  
Period Model

scholarly journals How to Profit From Declines of Share Prices without Shorting Them

2018 ◽  
Vol 4 (1) ◽  
pp. 10
Author(s):  
Leszek Zaremba
Keyword(s):  
Financial Market ◽  
Matrix Model ◽  
The Other ◽  
Financial Instruments ◽  
View Point ◽  
Share Prices ◽  
Short Sale ◽  
Black Scholes ◽  
Period Model

We present a 1-period model of the Polish financial market from the view point of the largest Polish company KGH, whose share prices declined from 119 PLN on June 1, 2015 to 68 PLN on December 2, 2015. Our goal is to show how KGHM might create portfolios (with practically zero cost), which would (almost) fully compensate these declines without, what is very important, short sale of KGHM’s shares. The presented methodology is equally suitable in any country for all those companies for which options on their shares are also tradable. We employ here a matrix model of a fraction of the Polish financial market and make use of the Black–Scholes formula to valuate 3 portfolios replicating 3 desired by KGHM, but not available on the market, financial instruments. To give more insight to the readers, we distinguish two cases. In one of them, volatility of KGHM’s share prices is 33%, and in the other case it equals 20%.

Developing-country resource extraction with asymmetric information and sovereign debt: a theoretical analysis

1997 ◽  
Vol 2 (3) ◽  
pp. 265-289
Author(s):  
JON STRAND
Keyword(s):  
Growth Rate ◽  
Interest Rate ◽  
Asymmetric Information ◽  
Developing Country ◽  
Sovereign Debt ◽  
Resource Extraction ◽  
Probability Of Default ◽  
Rapid Extraction ◽  
The Interest Rate ◽  
Period Model

We consider a two-period model of an indebted developing country endowed with a natural resource whose extraction causes negative global externalities, where the country may borrow in period one and there is asymmetric information about its willingness to service its loans. We show that when the resource is large, the interest rate on new borrowing equals the resource growth rate. A greater initial debt level then leads to reduced new borrowing and more rapid extraction. An outside 'donor' may affect the resource extraction of the country. Donor schemes that tie debt reduction to postponing or abstaining from extraction of the resource are more powerful than non-conditional schemes in reducing the extraction rate for governments that actually repay, but may in some cases lead to a greater probability of default through increased debt. While conditional schemes generally are potentially Pareto-superior to non-conditional ones, the welfare of the borrowing country is higher with non-conditional schemes.

scholarly journals Lyapunov Based Estimation of Flight Stability Boundary under Icing Conditions

2017 ◽  
Vol 2017 ◽  
pp. 1-10 ◽  
Author(s):  
Binbin Pei ◽  
Haojun Xu ◽  
Yuan Xue
Keyword(s):  
Equilibrium Point ◽  
External Disturbance ◽  
Stability Boundary ◽  
Wind Tunnel Test ◽  
Test Results ◽  
Theoretical Support ◽  
Effect Model ◽  
Short Period ◽  
The Stability ◽  
Period Model

Current fight boundary of the envelope protection in icing conditions is usually defined by the critical values of state parameters; however, such method does not take the interrelationship of each parameter and the effect of the external disturbance into consideration. This paper proposes constructing the stability boundary of the aircraft in icing conditions through analyzing the region of attraction (ROA) around the equilibrium point. Nonlinear icing effect model is proposed according to existing wind tunnel test results. On this basis, the iced polynomial short period model can be deduced further to obtain the stability boundary under icing conditions using ROA analysis. Simulation results for a series of icing severity demonstrate that, regardless of the icing severity, the boundary of the calculated ROA can be treated as an estimation of the stability boundary around an equilibrium point. The proposed methodology is believed to be a promising way for ROA analysis and stability boundary construction of the aircraft in icing conditions, and it will provide theoretical support for multiple boundary protection of icing tolerant flight.

Strategic Inventories Under Supply Chain Competition

2021 ◽  
Author(s):  
Xi Li ◽  
Yanzhi Li ◽  
Ying-Ju Chen
Keyword(s):  
Supply Chain ◽  
Supply Chains ◽  
Distribution Channel ◽  
Problem Definition ◽  
Supply Chain Competition ◽  
Managerial Implications ◽  
Holding Cost ◽  
Inventory Holding ◽  
Period Model

Problem definition: We consider the effects of strategic inventory (SI) in the presence of chain-to-chain competition in a two-period model. Academic/practical relevance: Established findings suggest that SI may alleviate double marginalization and improve the efficiency of a decentralized distribution channel. However, no studies consider the role of SI under chain-to-chain competition. Methodology: We build a two-period model consisting of two competing supply chains, each with an upstream manufacturer and an exclusive retailer. The retailers compete on either price or quantity. We characterize the firms’ strategies under the concept of perfect Bayesian equilibrium. We consider cases where contracts are either observable or unobservable across supply chains. Results: (1) SI still exists under chain-to-chain competition. Retailers may carry more inventory when the competition becomes fiercer, which further intensifies the supply chain competition. (2) Different from the existing findings, SI may backfire and hurt all firms. Interestingly, firms may benefit from a higher inventory holding cost. (3) Under supply chain competition, the prisoner’s dilemma can arise if competition intensity is intermediate; in other words, manufacturers are better off without strategic inventory, and yet they cannot help allowing strategic inventory, which is the unique equilibrium. Managerial implications: Despite its appeal among firms of a single supply chain, the role of SI is altered or even reversed by chain-to-chain competition. Conventional wisdom on SI should be applied with caution.

Clawbacks and Earnings Management

2018 ◽  
Vol 31 (3) ◽  
pp. 129-151 ◽  
Author(s):  
Carolyn B. Levine ◽  
Michael J. Smith
Keyword(s):  
Numerical Analysis ◽  
Earnings Management ◽  
Cash Flows ◽  
Data Availability ◽  
Real Earnings Management ◽  
Interim Report ◽  
Short Term ◽  
Period Model ◽  
Jel Classifications

ABSTRACT This study addresses the effect of clawbacks on earnings management (EM). In a two-period model, the manager can report truthfully or distort an interim report using either accrual or real EM. The principal can make short-term payments based on a manipulable accounting signal and long-term payments based on unmanipulable cash flows. The strength of the clawbacks determines the likelihood that the manager's compensation is reclaimed when the interim report was managed. Stronger clawback provisions may result in (1) a substitution between accrual and real earnings management, or (2) earnings management when no earnings management was optimal with weak clawbacks, and (3) lower expected profits for the principal. Numerical analysis suggests that strong clawbacks do not reduce aggregate earnings management. JEL Classifications: J33; M48; M52; G38. Data Availability: All data are simulated.

ASSET PRICES IN A SINGLE-PERIOD MODEL

2005 ◽  
pp. 1-18 ◽  
Author(s):  
Ser-Huang Poon ◽  
Richard Stapleton
Keyword(s):  
Asset Prices ◽  
Single Period ◽  
Period Model

A Dynamic Model of Corporate Campaigns

2019 ◽  
pp. 19-54
Author(s):  
Jose Miguel Abito ◽  
David Besanko ◽  
Daniel Diermeier
Keyword(s):  
Dynamic Model ◽  
Finite Horizon ◽  
Social Benefits ◽  
Private Regulation ◽  
Strategic Effect ◽  
Subsequent Period ◽  
The Social ◽  
Second Period ◽  
Period Model

This chapter introduces a finite-horizon (three-period) model of corporate campaigns in which an activist targets a single firm. The activist cares solely about the social benefits generated by the private regulation the firm is capable of undertaking. A firm can undertake costly effort in each period to improve its reputation in the subsequent period. The activist could undertake costly effort to impair the firm's reputation. As compared to a setting in which the firm faced no activist, the firm chooses a higher level of private regulation in the first period and, in expectation, a higher level of private regulation in the second period as well. The authors interpret this increase as self-insurance against reputational harm. The activist has a strategic effect on the firm in the second period: if the campaign impairs the firm's reputation, the firm will undertake more private regulation than it would have had its reputation remained the same or even improved.

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