Finance 395.2

Uncertainty in Economics and Finance

Dr. Richard MacMinn
Fall 1999

 

 

This is a core course in the finance doctoral program.  It covers the fundamentals of risk and uncertainty from a financial markets perspective.

 

The lectures are provided in the Adobe Acrobat format.  Use the latest version of the Acrobat reader so that you can follow the links between the lecture notes. You'll find the links to the lectures in the reading list. More references and links will be added as the semester progresses.  The following topic areas will be covered in this course. Follow the links.



 

Expected and Non-Expected Utility

Arrow, Kenneth J., "Alternative Approaches to the Theory of Choice In Risk-Taking Situations," Econometrica, 19 (1951), 404-437.

Bertsekas, Dimitri P., Dynamic Programming and Stochastic Control, Academic Press, 1976.

MacMinn, Richard, (1995). "Lecture Notes on the Expected Utility Theorem
," University of Texas

Chateauneuf, A. and M. Cohen (1994). "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model." Journal of Risk and Uncertainty 9(1): 77-91.

Chew, S.-H. and L.-G. Epstein (1987). "A Unifying Approach to Axiomatic Non-Expected Utility Theories." University of Toronto Institute for Policy Analysis Working Paper 8709: 36.

Fishburn, P., Utility Theory for Decision Making, New York: Hohn Wiley and Sons, 1970.

Friedman, Milton, and Leonard J. Savage, "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, 56 (4) (August 1948), 279-304.

Kelsey, D. and F. Milne (1990). "The Arbitrage Pricing Theorem with Non-Expected Utility Preferences." University of Birmingham Department of Economics Discussion Paper: 22.

Machina, M.-J. (1995). "Review of the Foundations of Rational Choice Under Risk." Journal of Economic Literature 33(2): 827-828.

Yaari, M.-E. (1987). "The Dual Theory of Choice under Risk." Econometrica 55(1): 95-115.

 

Risk Aversion and Prudence

Arrow, Kenneth J., "The Theory of Risk Aversion," in Essays in the Theory of Risk Bearing.

MacMinn, Richard, (1995). "Lecture Notes on Arrow's 'The Theory of Risk Aversion'" University of Texas

Baron, David, "Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition," International Economic Review, 11 (1970), 463-80.

MacMinn, Richard, (1995). "Lecture Notes on Baron's 'Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition'" University of Texas

Biswas, T., "A Note on the Generalized Measures of Risk Aversion," Journal of Economic Theory, 29 (April 1983), 347-52.

Dybvig, P. H. and S. A. Lippman, "An Alternative Characterization of Decreasing Absolute Risk Aversion," Econometrica, 51 (January 1983), 223-24.

Katz, E., "Relative Risk Aversion in Comparative Statics," American Economic Review, 73 (June 1983), 452-53.

Kihlstrom, Richard E., and Leonard J. Mirman, "Risk Aversion With Many Commodities," Journal of Economic Theory, 8 (1974), 361-88.

Kihlstrom, Richard E., David Romer, and Steve Williams, "Risk Aversion With Random Initial Wealth," Econometrica, 49 (July 1981), 911-20.

Kimball, Miles S., "Precautionary Saving in the Small and in the Large," Econometrica, 58 (January 1990), 53-73.

MacMinn, Richard, (1995). "Lecture Notes on Prudence" University of Texas

Machina, M. J., "A Stronger Characterization of Declining Risk Aversion," Econometrica, 50 (July 1982), 1069-79.

Pratt, John W., "Risk Aversion in the Small and in the Large," Econometrica, 32 (1964), 122-36.

MacMinn, Richard, (1995). "Lecture Notes on Pratt's 'Risk Aversion in the Small and in the Large'" University of Texas

Ross, Stephen, "Some Stronger Measures of Risk Aversion in the Small and in the Large with Applications," Econometrica, 49 (1981), 621-38.

Sandmo, Agnar, "The Effect of Uncertainty on Saving Decisions," Review of Economic Studies, 37 (1970), 353-60.

MacMinn, Richard, (1995). "Lecture Notes on Sandmo's 'The Effect of Uncertainty on Saving Decisions'" University of Texas

Yaari, Menahem E., "Some Remarks on Measures of Risk Aversion and on Their Uses," Journal of Economic Theory, 1 (1969), 315-29.

 

 

Risk

Brockett, Patrick L., "Optimal Choice Among Risky Assets for a Class Containing all the Common Utility Functions," Working Paper, Graduate School of Business, University of Texas, (June 1983).

Diamond, Peter, and Joseph Stiglitz, "Increases in Risk and in Risk Aversion," Journal of Economic Theory, 8 (1974), 337-60.

Hadar, J., and W. R. Russell, "Rules For Ordering Uncertain Prospects," American Economic Review, 59 (1969), 25-34.

Hanoch, G., and H. Levy, "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, 36 (1969), 335-46.

Katz, E., "A Note on a Comparative Statics Theorem for Choice under Risk," Journal of Economic Theory, 25 (October 1981), 318-19.

Rothschild, Michael, and Joseph Stiglitz, "Increasing Risk: I. A Definition," Journal of Economic Theory, 2 (1970), 225-43.

MacMinn, Richard, (1995). "Lecture Notes on Rothschild and Stiglitz's 'Increasing Risk: I. A Definition'" University of Texas

Tesfatsion, Leigh, "Stochastic Dominance and the Maximization of Expected Utility," Review of Economic Studies, 43 (1976), 301-15.

MacMinn, Richard, (1995). "Lecture Notes on Stochastic Dominance" University of Texas

Whitmore, G., "The Theory of Skewness Preference," Journal of Business Administration, 6 (Spring 1975), 13-20.

 

 

Portfolio Models

Bertsekas, Dimitri, "Necessary and Sufficient Conditions For Existence of An Optimal Portfolio," Journal of Economic Theory, 8 (1974), 235-47.

Brumelle, Shelby L., "When Does Diversification Between Two Investments Pay," Journal of Financial and Quantitative Analysis, (June 1974), 473-83.

Cass, David and Joseph Stiglitz, "The Structure of Investor Preferences, Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds," Journal of Economic Theory, 2 (1970), 122-60.

Cass, David and Joseph Stiglitz, "Risk Aversion and Wealth Effects on Portfolios with Many Assets," Review of Economic Studies, (1972), 331-54.

Hart, O. D., "Some Negative Results on the Existence of Comparative Static Results in Portfolio Theory," Review of Economic Studies, 42 (1975), 615-21.

Leland, Hayne, "On The Existence Of Optimal Policies Under Uncertainty," Journal of Economic Theory, 4 (1972), 35-44.

Lorie, Henri R., "Another Look at Liquidity Preference," Quarterly Journal of Economics, Vol. XCIV (February 1980), 167-77.

Mintz, Jack, "Some Additional Results on Investment, Risk Taking, and Full Loss Offset Corporate Taxation with Interest Deductibility," Quarterly Journal of Economics, (November 1981), 631-42.

Owen, Joel and Ramon Rabinovitch, "On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice," Journal of Finance, (June 1983), 745-52.

Ross, Stephen, "Mutual Fund Separation in Financial Theory - The Separating Distributions," Journal of Economic Theory, 17 (1978), 254-86.

MacMinn, Richard, (1995). "Lecture Notes on Ross' 'Mutual Fund Separation in Financial Theory - The Separating Distributions'" University of Texas

Samuelson, Paul A., "General Proof That Diversification Pays," Journal of Financial and Quantitative Analysis, 2 (March 1967), 1-13.

MacMinn, Richard, (1995). "Lecture Notes on Samuelson's 'General Proof That Diversification Pays'" University of Texas

Sandmo, Agnar, "Capital Risk, Consumption, and Portfolio Choice," Econometrica, 37 (October 1969), 586-99.

Stiglitz, J. E., "The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking," Quarterly Journal of Economics, (1969), 263-83.

Stiglitz, J. E., "Some Aspects of the Taxation of Capital Gains," Journal of Public Economics, 21 (July 1983), 257-94.

 

 

Risk and the Firm

Aghion, P. and P. Bolton, "An Incomplete Contracts Approach to Bankruptcy and the Financial Structure of the Firm," MIT Working Paper, (1988).

Akerlof, George, "Procrastination and Obedience," American Economic Review, May 1991.

Aivazian, Varouj A.; Callen, Jeffrey L., "Uncertain Externalities, Liability Rules, and Resource Allocation: Comment," American Economic Review, 5 (December 1980), 1058-59.

Albrecht, James W. and Albert G. Hart, "A Putty-Clay Model of Demand Uncertainty and Investment," Scandinavian Journal of Economics, 85 (1983), 393-402.

Arnott, Richard and Joseph Stiglitz, "Moral Hazard and Non-market Institutions: Dysfunctional Crowding Out or Peer Monitoring?" American Economic Review, 81, 1 (March 1991), 179-191.

Baron, David, "Demand Uncertainty in Imperfect Competition," International Economic Review, 12 (June 1971), 196-208.

Blair, M. M., Ed. (1993). The Deal Decade: What Takeovers and Leveraged Buyouts Means for Corporate Governance. Washington D. C., The Brookings Institution.

Brander, James A., and Tracy R. Lewis, "Oligopoly and Financial Structure: The Limited Liability Effect," American Economic Review, December 1986, 76 5, 956-70.

MacMinn, Richard, (1995). "Lecture Notes on Brander and Lewis' 'Oligopoly and Financial Structure: The Limited Liability Effect'" University of Texas

Brander, James A. and Barbara J. Spencer, "Moral Hazard and Limited Liability: Implications for the Theory of the Firm," International Economic Review, 30, 4 (November 1989), 833-850.

Bronars, Stephen G. and Donald R. Deere, "The Threat of Unionization, the Use of Debt, and the Preservation of Shareholder Wealth," Quarterly Journal of Economics, CVI (February 1991), 231-54

Bulow, J. and J. Shoven, "The Bankruptcy Decision," Bell Journal of Economics, (Spring 1979).

Cheung, S. N. S., "The Contractual Nature of the Firm," Journal of Law and Economics, 26 (April 1983), 1-21.

Coase, Ronald H., "The Nature of the Firm," Economica, November 1937.

Coase, Ronald H., "The Problem of Social Cost," Journal of Law and Economics, 3 (October 1960), 1-44.

Davis, O. A.; Whinston, A. B., "Some Notes on Equating Private and Social Cost," Southern Economic Journal, 23 (1965), 113-26.

Davis, O. A.; Whinston, A. B., "On Externalities, Information, and the Government-Assisted Invisible Hand," Economica, 23 (1966), 303-18.

Eapple, D. and A. Raviv, "Product Safety: Liability Rules, Market Structure, and Imperfect Information," American Economic Review, 68 (March 1978), 80-95.

Emons, Winand, "Warranties, Moral Hazard, and the Lemons Problem." Journal of Economic Theory, 46, 1 (October 1988), 16-34.

Fama, Eugene F., "The Effects of a Firm's Investment and Financing Decisions on the Welfare of its Security Holders," American Economic Review, 68 (3) (June 1978), 272-84.

Fama, Eugene F., "Agency Problems and the Theory of the Firm," Journal of Political Economy, (April 1980).

Farrell, Joseph, "Information and the Coase Theorem," Journal of Economic Perspectives, 1 (2) (Fall 1987), 113-29.

Feder, Gershon, Richard E. Just, and Andrew Schmitz, "Futures Market and the Theory of the Firm Under Price Uncertainty," Quarterly Journal of Economics, Vol. XCIV (March 1980), 317-28.

Forbes, Kevin F., "Limited Liability and the Development of the Business Corporation," Journal of Law, Economics, and Organization, Spring 1986, 2 1, 163-77.

Green, Richard, "Investment Incentives, Debt, and Warrants," Journal of Financial Economics, 13 (1984), 115-136.

MacMinn, Richard D., "The Risk-Shifting Problem and Convertible Bonds," Working Paper 88/89-2-21, Graduate School of Business, University of Texas, Austin, Texas, January 1989.

Greenwood, Peter H.; Ingene, Charles A., "Uncertain Externalities, Liability Rules, and Resource Allocation," American Economic Review, 68 (3) (June 1978), 300-310.

Greenwood, Peter H.; Ingene, Charles A., "Uncertain Externalities, Liability Rules, and Resource Allocation: Reply,"American Economic Review, 5 (December 1980), 1060-63.

Grossman, Sanford J., "The Informational Role of Warranties and Private Disclosure about Product Quality," Journal of Law and Economics, 24 (December 1981), 461-83.

Hagerty, Kathleen M. and Daniel R. Siegel, "On the Oberservational Equivalence of Managerial Contracts under Conditions of Moral Hazard and Self-Selection," Quarterly Journal of Economics, 103, 2 (May 1988), 425-429.

Harris, Milton, and Artur Raviv, "The Theory of Capital Structure," Journal of Finance, 46 (March 1991), 297-355.

Hart, O. and J. Moore, "Default and Renegotiation: A Dynamic Model of Debt," LSE Discussion Paper 57, (June 1989)

Holthausen, Duncan, "Hedging and the Competitive Firm Under Price Uncertainty," American Economic Review, 69 (1979), 989-95.

Jensen, Michael, (1986). "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers." American Economic Review 76: 323-29.

MacMinn, Richard, (1995). "Lecture Notes on Holthausen's ' Hedging and the Competitive Firm Under Price Uncertainty'" University of Texas

Inada, Ken-Ichi; Kuga, Kiyoshi, "Limitations of the `Coase Theorem' on Liability Rules," Journal of Economic Theory, 6 (1973), 606-13.

Jensen, M. and W. Meckling, "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics, 3 (1976), 305-60.

Kahn, Charles M.; Scheinkman, Jose, "Optimal Employment Contracts with Bankruptcy Constraints," Journal of Economic Theory, April 1985, 35 2, 343-65.

Kolstad, Charles D. , Thomas S. Ulen, and Gary V. Johnson, "Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements?," American Economic Review, 80 (September 1990), 888-901.

MacMinn, Richard, (1995). "Lecture Notes on Kolstad, Ulen, and Johnson's 'Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements?'" University of Texas

Leach, John E., "Underemployment with Liquidity-Constrained Multi-period Firms," Journal of Economic Theory, 44 (1) (February 1988), 81-98.

Leland, Hayne, "Theory of the Firm Facing Uncertain Demand," American Economic Review, 62 (1972), 278-91.

MacMinn, Richard, (1995). "Lecture Notes on Leland's 'Theory of the Firm Facing Uncertain Demand'" University of Texas

MacMinn, Richard D. and Alphonse G. Holtmann, "Technological Uncertainty and the Theory of the Firm," Southern Economic Journal, 50 (July 1983), 120-36.

MacMinn, Richard, "Limited Liability, Corporate Objectives, and Management Decisions," Working Paper 88/89-2-24, Graduate School of Business, University of Texas, August 1989.

Maksimovic, Vojislav, "Capital Structure in repeated oligopolies," Rand Journal of Economics, 19, 389-407.

McCall, John J., "Probabilistic Microeconomics," Bell Journal of Economics, (Autumn 1971), 403-43.

Meyer, Robert A., "Monopoly Pricing and Capacity Choice Under Uncertainty," American Economic Review, LXV (June 1975), 326-37.

Meyer, Robert A., "Risk-Efficient Monopoly Pricing for the Multiproduct Firm`," Quarterly Journal of Economics, XC (August 1976), 461-74.

Modigliani, Franco; Miller, Merton H., "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, 1958.

Miller, Merton H., "The Modigliani-Miller Propositions After Thirty Years," Journal of Economic Perspectives, 2 (Autumn 1988), 99-120.

Myers, Stewart C., "The Determinants of Corporate Borrowing," Journal of Financial Economics, 5 (1977), 147-75.

Myers, Stewart C., and Nicholas S. Majluf, "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have," Journal of Financial Economics, 13 (1984), 187-221.

Oi, W. Y., "The Economics of Product Safety," Bell Journal of Economics, (Spring 1973), 3-29.

Sah, Raaj K. and Joseph E. Stiglitz, "The Quality of Managers," Quarterly Journal of Economics, CVI (February 1991), 289-96.

Sandmo, Agnar, "On the Theory of the Competitive Firm Under Price Uncertainty," American Economic Review, 61 (1) (1971), 65-73.

Sappington, David E. M., "Incentives in Principal-Agent Relationships," Journal of Economic Perspectives, 5 (2) (Spring 1991), 45-66.

Simon, Herbert A., "Organizations and Markets," Journal of Economic Perspectives, 5 (2) (Spring 1991), 25-44.

Simon, Marilyn, "Imperfect Information, Costly Litigation, and Product Quality," Bell Journal of Economics, 12 (1981), 171-84.

Spence, Michael, "Consumer Misperceptions, Product Failure and Producer Liability," Review of Economic Studies, Vol. XLIV (1977), 561-72.

Stiglitz, Joseph E., "Symposium on Organizations and Economics," Journal of Economic Perspectives, 5 (2) (Spring 1991), 15-24.

Stiglitz, Joseph E.; Greenwald, Bruce C., "Asymmetric Information and the New Theory of the Firm: Financial Constraints and Risk Behavior," American Economic Review, 80 (2) (May 1990), 160-65.

Woodward, Susan E., "Limited Liability in the Theory of the Firm," Zeitschrift fur die gesamte Staatswissenchaft, 141 4 (December 1985), 601-11.

Markets

Arrow, Kenneth J., "The Role of Securities in the Optimal Allocation of Risk-Bearing," Review of Economic Studies, 31 (1963-64 edition), 91-96.

MacMinn, Richard, (1995). "Lecture Notes on Arrow's 'The Role of Securities in the Optimal Allocation of Risk-Bearing'" University of Texas

Borch, Karl, "Economic Equilibrium Under Uncertainty," International Economic Review, (1968), 339-46.

Bolton, P. and D. Scharfstein, "A Theory of Predation Based on Agency Problems in Financial Contracting," American Economic Review, (1990)VOL 80, 93-106.

Boyd, J. H. and E. C. Prescott, "Financial Intermediary Coalitions," Journal of Economic Theory, 38 (April 1986), 211-32.

Brennan, Michael and Alan Kraus, "Efficient Financing under Asymmetric Information," Journal of Finance, XLII 5, December 1987, 1225-43.

DeAngelo, Harry, "Competition and Unanimity," American Economic Review, March 1981, 71 1, 18-27.

Diamond, Peter, "The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty," American Economic Review, 57 (1967), 759-73.

Diamond, D. W., "Reputation Acquisition in Debt Markets," Journal of Political Economy, (August 1989)

Diamond, D. W., "Monitoring and Reputation: The Choice Between Bank Loans and Directly Placed Debt," University of Chicago Working Paper, (January 1989)

Diamond, D. W., "Debt Maturity Structure and Liquidity Risk," University of Chicago Working Paper, (July 1989)

Diamond, D. W. and P. H. Dybvig, "Bank Runs Deposit Insurance and Liquidity," Journal of Political Economy, 91 (June 1983), 401-19.

Dreze, Jacques H., "Market Allocation Under Uncertainty," European Economic Review, 2 (1970-71 edition), 133-65.

Ekern, Steinar and Robert Wilson, "On the Theory of the Firm in an Economy with Incomplete Markets," Bell Journal of Economics, 5 (Spring 1974), 171-180.

MacMinn, Richard, (1995). "Lecture Notes on Ekern and Wilson's 'On the Theory of the Firm in an Economy with Incomplete Markets'" University of Texas

Fama, E., "Perfect Competition and Optimal Production Decisions Under Uncertainty," Bell Journal of Economics, (1972).

Flannery, M. J., "Asymmetric Information and Risky Debt Maturity Choice," Journal of Finance, 41 (March 1986), 19-38.

Franke, Gunter, "Costless Signalling in Financial Markets," Journal of Finance, 42, 4 (September 1987), 809-22.

Gale, D. and M. Hellwig, "Incentive Compatible Debt Contracts: The One Period Problem," Review of Economic Studies, 52 (October 1985), 647-64.

Greenwald, Bruce and Joseph Stiglitz, "Externalities in Economies with Imperfect Information and Incomplete Markets," Quarterly Journal of Economics, (May 1986), 229-64.

Greenwood, Jeremy and R. Preston McAfee, "Externalities and Asymmetric Information," Quarterly Journal of Economics, CVI (February 1991), 103-22.

Harris, Milton, and Robert Townsend, "Resource Allocations Under Asymmetric Information," Econometrica, (January 1981), 33-64.

Harris, M. and A. Raviv, "Capital Structure and the Informational Role of Debt," CRSP Working Paper, University of Chicago, (June 1989)

Hellwig, Martin F., "Bankruptcy, Limited Liability, and The Modigliani-Miller Theorem," American Economic Review, 71 (March 1981), 155-170.

Hellwig, M., "A Model of Borrowing and Lending with Bankruptcy," Econometrica, 45 (1977), 1879-1906.

Jensen, M., "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, 76 (1986), 323-29.

Kreps, D. and R. Wilson, "Reputation and Imperfect Information," Journal of Economic Theory, (August 1982).

Leland, Hayne E., "Information, Managerial Choice and Stockholder Unanimity," Review of Economic Studies, October 1978, 45 3, 527-34.

Milgrom, P. and J. Roberts, "Predation, Reputation, and Entry Deterrence," Journal of Economic Theory, (August 1982).

Okuno, Masahiro, "Bankruptcy, Limited Liability and Financial Intermediation: A General Equilibrium Approach," Economic Studies Quarterly, August 1980, 31 2, 139-49.

Radner, Roy, "A Note on Unanimity of Stockholder's Preferences Among Alternative Production Plans: A Reformulation of the Ekern-Wilson Model," Bell Journal of Economics, 5 (1974), 181-184.

Radner, R., "Competitive Equilibrium Under Uncertainty," Econometrica, (1968), 31-58.

Ross, Stephen A., "Options and Efficiency," Quarterly Journal of Economics, XC (February 1976), 75-89.

MacMinn, Richard, (1995). "Lecture Notes on Ross' 'Options and Efficiency'" University of Texas

Satterthwaite, Mark A., "On the Scope of the Stockholder Unanimity Theorems," International Economic Review, February 1981, 22 1, 119-33.

Spatt, C., "Credit Reputation Equilibrium and the Theory of Credit Markets," Working Paper, Carnegie-Mellon, (May 1983).

Stiglitz, Joseph E., "A Re-Examination of the Modigliani-Miller Theorem," American Economic Review, 59 (5) (December 1969), 784-93.

Stiglitz, Joseph E., "Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Takeovers," Bell Journal of Economics, 3 (1972), 458-82.

Stiglitz, Joseph E., "On the Irrelevance of Corporate Financial Policy," American Economic Review, 64 (December 1974), 851-66.

Townsend, R. M., "Optimal Contracts and Competitive Markets With Costly State Verification," Journal of Economic Theory, 21 (October 1979), 265-93.

Rational Expectations

Grossman, S. J., "An Introduction to the Theory of Rational Expectations under Asymmetric Information," Review of Economic Studies, 48 (October 1981), 541-59.

Grossman, S., "The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities," Journal of Econometrics , 3 (August 1975), 255-72.

Grossman, S., and Joseph Stiglitz, "On the Impossibility of Informationally Efficient Markets," American Economic Review, 70 (June 1980), 393-408.

Jordan, J. S., and R. Radner, "Rational Expectations in Microeconomic Models: An Overview," Journal of Economic Theory , 26 (April 1982), 201-23.

Muth, J., "Rational Expectations and the Theory of Price Movements," Econometrica, 29 (July 1961), 314-35.

Radner, R., "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, (1972), 289-303.

Insurance

Akerlof, George, "The Market For `Lemons': Qualitative Uncertainty and the Market Mechanism," Quarterly Journal of Economics, 89 (1970), 488-500.

MacMinn, Richard, (1995). "Lecture Notes on Akerlof's 'The Market For `Lemons': Qualitative Uncertainty and the Market Mechanism'" University of Texas

Arrow, Kenneth J., "Insurance, Risk and Resource Allocation," in Essays in the Theory of Risk-Bearing.

Arrow, Kenneth J., "Uncertainty and the Welfare Economics of Medical Care," American Economic Review, 53 (1963), 941-73.

Arrow, Kenneth J., "The Economics of Moral Hazard: Further Comment," American Economic Review, 58 (1968), 537-39.

Kihlstrom, Richard E., and Mark Pauly, "The Role of Insurance in the Allocation of Risk," American Economic Review, (1971), 371-79.

Laffont, J., "Court Against Moral Hazard," Journal of Mathematical Economics, 3 (1976), 269-83.

Pauly, Mark V., "The Economics of Moral Hazard," American Economic Review, 58 (1968), 531-37.

Pauly, Mark V., "Over-insurance and the Public Provision of Insurance: The Roles of Moral Hazard and Adverse Selection," Quarterly Journal of Economics, 88 ((1974), 44-54.

Rothschild, Michael and Joseph Stiglitz, "Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information," Quarterly Journal of Economics, 90 (1976), 629-50.

MacMinn, Richard, (1995). "Lecture Notes on Rothschild and Stiglitz's 'Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information'" University of Texas

Shavell, S., "On Moral Hazard and Insurance," mimeo.

Shavell, Steven, "A Note on the Incentive to Reveal Information," Geneva Papers, 14 (January 1989), 66-74.

Spence, Michael, and Richard Zeckhauser, "Insurance, Information, and Individual Action," American Economic Review, 61 (1971), 380-87.

Wilson, Charles, "A Model of Insurance Markets with Incomplete Markets," Journal of Economic Theory, 16 (1977), 167-207.

Search and Information

Arrow, Kenneth J., "Economic Welfare and the Allocation of Resources to Invention," in Essays in the Theory of Risk-Bearing.

Hirshleifer, Jack, "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, 61 (September 1971), 561-74.

Kohn, M. and S. Shavell, "The Theory of Search," Journal of Economic Theory, 9 (october 1974), 93-123.

Lippman, S. and John J. McCall, "The Economics of Job Search: A Survey," Economic Inquiry, 14 (June 1976), 155-89.

MacMinn, Richard D., "Search and Market Equilibrium," Journal of Political Economy, 88 (April 1980), 308-27.

MacMinn, Richard D., "Search and the Market for Lemons," Information Economics and Policy, (1986).

McCall, John J., "The Economics of Information and Job Search," Quarterly Journal of Economics, (February 1970), 113-26.

Milgrom, Paul R., "Good News and Bad News: Representation Theorems and Applications," Bell Journal of Economics, 12 (Autumn 1981), 380-91.

Nelson, Richard R., "The Role of Knowledge in R&D Efficiency," Quarterly Journal of Economics, Vol. XCVII (August 1982), 453-70.

Rothschild, Michael, "Models of Market Organization with Imperfect Information: A Survey," Journal of Political Economy, 81 (1973), 1283-1308.

Stigler, George, "The Economics of Information," Journal of Political Economy, 69 (June 1961), 213-25.

Signalling and Screening

Ambarish, Ramasastry; John, Kose; Williams, Joseph, "Efficient Signalling with Dividends and Investments”, Journal of Finance, 42 (2) (June 1987), 321-43.

Arrow, Kenneth J., "Higher Education as a Filter," Journal of Public Economics, 2 (July 1973), 193-216.

Bhattacharya, Sudipto, "Nondissipative Signaling Structures and Dividend Policy," Quarterly Journal of Economics, 95, 1 (August 1980), 1-24.

Blinder, A. and Joseph Stiglitz, "Money, Credit Constraints, and Economic Activity," American Economic Review, 73 (1983), 297-302.

Campbell, Tim S.; Kracaw, William A., "Information Production, Market Signalling, and the Theory of Financial Intermediation," Journal of Finance, 35 (1980), 863-882.

Engers, Maxim, "Signalling with Many Signals," Econometrica, 55, 3 (May 1987), 663-74.

Guasch, J. and A. Weiss, "Self-Selection in the Labor Market," American Economic Review, 71 (June 1981), 275-84.

Hakansson, Nils, "To Pay or not to Pay Dividends," Journal of Finance, 37 (1982), 415-27.

John, Kose, "Risk-Shifting Incentives and Signalling through Corporate Capital Structure" Journal of Finance, 42 (3) (July 1987), 623-41.

John, Kose, and Joseph Williams, "Dividends, Dilution, and Taxes: A Signalling Equilibrium," Journal of Finance, (September 1985), 1053-70.

Lee, Wayne L.; Thakor, Anjan V.; Vora, Gautam, "Screening, Market Signalling, and Capital Structure Theory," Journal of Finance, 38, 5 (December 1983), 1507-18.

Leland, Hayne, and David Pyle, "Informational Asymmetries, Financial Structure and Financial Intermediation," Journal of Finance, 32 (May 1977), 371-87.

Miller, Merton; Rock, K, "Dividend Policy under Asymmetric Information," Journal of Finance, 40 (September 1985), 1031-51.

Ross, S., "The Determination of Financial Structure: The Incentive-Signalling Approach," Bell Journal of Economics, (1977).

Spence, Michael, "Signalling and Screening," mimeo.

Spence, Michael, "Job Market Signalling," Quarterly Journal of Economics, 87 (August 1973), 355-74.

MacMinn, Richard, (1995). "Lecture Notes on Spence's 'Job Market Signalling'" University of Texas

Spence, Michael, "Competitive and Optimal Responses to Signals: An Analysis of Efficiency and Distribution," Journal of Economic Theory, 7 (March 1974), 296-332.

Stiglitz, Joseph, "Information and Economic Analysis," in Current Economic Problems, Cambridge University Press, 1975.

Stiglitz, Joseph, "The Theory of Screening, Education, and the Distribution of Income," American Economic Review, 65 (June 1975), 283-300.

MacMinn, Richard, (1995). "Lecture Notes on Stiglitz's 'The Theory of Screening, Education, and the Distribution of Income'" University of Texas

Stiglitz, J. and A. Weiss, "Alternative Approaches to Analyzing Markets with Asymmetric Information: Reply" [The Theory of `Screening,' Education, and the Distribution of Income], American Economic Review, 73 (March 1983), 246-49.

Stiglitz, Joseph, and A. Weiss, "Credit Rationing in Markets with Imperfect Information," American Economic Review, 71 (June 1981), 393-410.

Talmor, Eli, "Asymmetric Information, Signaling, and Optimal Corporate Financial Decisions," Journal of Financial and Quantitative Analysis, 16, 4 (November 1981), 413-35.

Thakor, Anjan V., "Strategic Issues in Financial Contracting: An Overview," Financial Management, (Summer 1989), 39-58.

Principal-Agent Theory

Azariadis, C., "Implicit Contracts and Underemployment Equilibria," Journal of Political Economy, (1975), 1183-1202.

Azariadis, C., and Joseph Stiglitz, "Implicit Contracts and Fixed Price Equilibria," Quarterly Journal of Economics Supplement, (1983), 1-22.

Bull, Clive, "The Existence of Self-Enforcing Implicit Contracts," Quarterly Journal of Economics, February 1987, 102 1, 147-60.

Grossman, Sanford J. and Oliver D. Hart, "An Analysis of the Principal Agent Problem," Econometrica, 51 (January 1983), 7-46.

Grossman, Sanford J. and Oliver D. Hart, "Implicit Contracts under Asymmetric Information," Quarterly Journal of Economics, Supplement 1983, 98 3, 123-56

Harris, M. and A. Raviv, "Some Results on Incentive Contracts with Applications to Education and Employment, Health Insurance, and Law Enforcement," American Economic Review, 68 (March 1978), 20-30.

Harris, M. and A. Raviv, "Optimal Incentive Contracts with Imperfect Information," Journal of Economic Theory, 20 (1979), 232-59.

MacMinn, Richard, (1995). "Lecture Notes on Harris and Raviv's 'Optimal Incentive Contracts with Imperfect Information'" University of Texas

Hart, Oliver; Holmstrom, Bengt, "The Theory of Contracts," In Bewley, T., ed., Advances in Economic Theory, 1985. Cambridge: Cambridge University Press, 1987.

Heal, G., "Guarantees and Risk Sharing," Review of Economic Studies, 44 (1977), 549-60.

Holmstrom, Bengt; Milgrom, Paul, "Aggregation and Linearity in the Provision of Intertemporal Incentives," Econometrica, 55 (2) (March 1987), 303-28.

Holmstrom, Bengt; Tirole, Jean, "The Theory of the Firm." In Schmalensee, R., and R. Willig, eds., Handbook of Industrial Organization. Amsterdam: North-Holland, 1988.

Matusz, Steven J., "The Heckscher-Ohlin-Samuelson Model with Implicit Contracts," Quarterly Journal of Economics, November 1985, 1313-29.

Milgrom, Paul, "Employment Contracts, Influence Activities, and Efficient Organization Design”, Journal of Political Economy, 96 (1988), 42-60.

Milgrom, Paul; Weber, Robert, "A Theory of Auctions and Competitive Bidding," Econometrica, 50 (1982), 1089-1122.

Nalebuff, Barry; Stiglitz, Joseph E., "Prizes and Incentives: Towards a General Theory of Compensation and Competition," Bell Journal of Economics 14 (1983), 21-43.

Newbery, David, "Risk Sharing, Sharecropping and Uncertain Labor Markets," Review of Economic Studies, 44 (1977), 585-94.

Newbery, David M. and Joseph E. Stiglitz, "Wage Rigidity, Implicit Contracts, Unemployment and Economic Efficiency," Economic Journal, June 1987, 97 386, 416-30

Ross, S., "The Economic Theory of Agency: The Principal's Problem," American Economic Review, 63 (May 1973), 134-39.

Sappington, David, "Limited Liability Contracts between Principal and Agent," Journal of Economic Theory, February 1983, 29 1, 1-21.

Shavell, S., "Risk Sharing and Incentives in the Principal-Agent Relationship," Bell Journal of Economics, 10 (Spring 1979), 55-73.

 

 


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Modification Date:  Thursday, 28 September 2006 19:34 -0700
Comments to: Richard MacMinn