Publications in 2014
The Real Effects of Financial Constraints: Evidence from a Debt Subsidization Program Targeted at Strategic Firms
Author: Sokolov V., Yulia Davydova
Firm value in crisis: Effects of firm-level transparency and country-level institutions
Author: Stepanov S., Enikolopov R., Petrova M.
Liquidity and the Marginal Value of Information
|Author: Boulatov А., Taub B.|
Economic Theory 2014, 55 (2), pp. 307-334
We revisit Kyle's (Econometrica 53:1315-1335, 1985) model of price formation in the presence of private information. We begin by using Back's (Rev Financ Stud 5(3):387-409, 1992) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution and that the insider's trading strategy has a martingale property. That in turn implies that the insider's strategies are linear in total order flow. We also show that for arbitrary prior distributions, the insider's trading strategy is uniquely determined by a Doob h-transform that expresses the insider's informational advantage. This allows us to reformulate the model so that Kyle's liquidity parameter λ is characterized by a Lagrange multiplier that is the marginal value or shadow price of information. Based on these findings, we can then interpret liquidity as the marginal value of information.
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Privatization and Survival - Evidence from a Russian Firm Survey
|Author: Sprenger K.|
Economic Annals 2014, 59 (200), pp. 43-60
This study is dedicated to an important aspect of the long-run performance of firms, namely their survival under rapidly changing conditions in a transition economy. The analysis is focused on the question of whether privatization and ownership structure have affected the likelihood of liquidation and bankruptcy of firms in Russia. We use a sample of 497 privatized and non-privatized firms that were surveyed in 1999-2000, and for which information was collected about their survival status and reasons for exit, such as bankruptcy, mergers and court decisions. More than 38% of the sample firms were liquidated over the period 1999 to 2013. We find that privatization and the choice of privatization option have no effect on the long-term survival of firms in Russia, but that managerial ownership lowers the likelihood of both liquidation and bankruptcy. Other transition-specific predictors of bankruptcy, such as the extent of price controls and the amount of wage arrears, affect firm exit in a significant way.
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