Advertisement

Game Theory Models in Finance

  • Franklin AllenEmail author
  • Stephen Morris
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 194)

Abstract

Finance is concerned with how the savings of investors are allocated through financial markets and intermediaries to firms, which use them to fund their activities. Finance can be broadly divided into two fields. The first is asset pricing, which is concerned with the decisions of investors. The second is corporate finance, which is concerned with the decisions of firms. Game theory is an essential tool for describing the behavior of investors, financial intermediaries, and corporate managers.

This chapter provides a broad survey of game-theoretic research bearing on financial decision making, beginning with an assessment of pre-game-theoretic financial models and results – including asset pricing models, market efficiency, and classic results in corporate finance. It goes on to consider game-theoretic models of corporate financial decisions under asymmetric information – signaling models, agency costs, intermediation, the market for corporate control, and initial public offerings. Taking a game-theoretic lens to asset pricing, market microstructure models are also reviewed. A final section assesses recent research concerning higher-order beliefs, informational cascades, and differences in beliefs not explained by differences in information.

Keywords

Asset Price Asymmetric Information Capital Structure Initial Public Offering Capital Asset Price Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. Abel, A., & Mailath, G. (1994). Financing losers in financial markets. Journal of Financial Intermediation, 3, 139–165.CrossRefGoogle Scholar
  2. Aghion, P., & Bolton, P. (1992). An ‘incomplete contracts’ approach to financial contracting. The Review of Economic Studies, 59, 473–494.CrossRefGoogle Scholar
  3. Allen, F. (1986). Capital structure and imperfect competition in product markets (Working paper). University of Pennsylvania.Google Scholar
  4. Allen, F., & Faulhaber, G. (1989). Signalling by underpricing in the IPO market. Journal of Financial Economics, 23, 303–323.CrossRefGoogle Scholar
  5. Allen, F., & Gale, D. (1994). Financial innovation and risk sharing. Cambridge, MA: MIT Press.Google Scholar
  6. Allen, F., & Gale, D. (1999). Comparing financial systems. Cambridge, MA: MIT Press.Google Scholar
  7. Allen, F., & Michaely, R. (1995). Dividend policy. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (Vol. 9, pp. 793–837). Amsterdam/North-Holland: Elsevier.Google Scholar
  8. Allen, F., Morris, S., & Postlewaite, A. (1993). Finite bubbles with short sales constraints and asymmetric information. Journal of Economic Theory, 61, 209–229.CrossRefGoogle Scholar
  9. Aumann, R. (1998). Common priors: A reply to Gul. Econometrica, 66, 929–938.CrossRefGoogle Scholar
  10. Avery, C., & Zemsky, P. (1998). Multi-dimensional uncertainty and herd behavior in financial markets. American Economic Review, 88, 724--748.Google Scholar
  11. Banerjee, A. (1992). A simple model of herd behavior. Quarterly Journal of Economics, 107, 797–817.CrossRefGoogle Scholar
  12. Banz, R. (1981). The relationship between return and market value of common stock. Journal of Financial Economics, 9, 3–18.CrossRefGoogle Scholar
  13. Barclay, M., & Smith, C., Jr. (1988). Corporate payout policy: Cash dividends versus open-market repurchases. Journal of Financial Economics, 22, 61–82.CrossRefGoogle Scholar
  14. Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratio: A test of the efficient market hypothesis. Journal of Finance, 32, 663–682.CrossRefGoogle Scholar
  15. Benveniste, L., & Spindt, P. (1989). How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics, 24, 343–361.CrossRefGoogle Scholar
  16. Berglof, E., & von Thadden, E. (1994). Short-term versus long-term interests: Capital structure with multiple investors. Quarterly Journal of Economics, 109, 1055–1084.CrossRefGoogle Scholar
  17. Bhattacharya, S. (1979). Imperfect information, dividend policy, and the ‘bird in the hand’ fallacy. Bell Journal of Economics, 10, 259–270.CrossRefGoogle Scholar
  18. Bhattacharya, S., & Thakor, A. (1993). Contemporary banking theory. Journal of Financial Intermediation, 3, 2–50.CrossRefGoogle Scholar
  19. Biais, B., & Bossaerts, P. (1998). Asset prices and trading volumes in a beauty contest. The Review of Economic Studies, 65, 307–340.CrossRefGoogle Scholar
  20. Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashions, customs and cultural change as informational cascades. Journal of Political Economy, 100, 992–1026.CrossRefGoogle Scholar
  21. Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45, 444–455.CrossRefGoogle Scholar
  22. Black, F. (1976). The dividend puzzle. Journal of Portfolio Management, 2, 5–8.CrossRefGoogle Scholar
  23. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–659.CrossRefGoogle Scholar
  24. Bradley, M., Desai, A., & Kim, E. (1988). Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms. Journal of Financial Economics, 21, 3–40.CrossRefGoogle Scholar
  25. Brander, J., & Lewis, T. (1986). Oligopoly and financial structure: The limited liability effect. The American Economic Review, 76, 956–970.Google Scholar
  26. Breeden, D. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7, 265–296.CrossRefGoogle Scholar
  27. Brennan, M. (1989). Capital asset pricing model. In J. Eatwell, M. Milgate, & P. Newman (Eds.), The new Palgrave dictionary of economics. New York: Stockton.Google Scholar
  28. Brennan, M., & Thakor, A. (1990). Shareholder preferences and dividend policy. Journal of Finance, 45, 993–1019.CrossRefGoogle Scholar
  29. Brown, D. (1989). Claimholder incentive conflicts in reorganization: The role of bankruptcy law. Review of Financial Studies, 2, 109–123.CrossRefGoogle Scholar
  30. Bryant, J. (1980). A model of reserves, bank runs, and deposit insurance. Journal of Banking and Finance, 4, 335–344.CrossRefGoogle Scholar
  31. Carlsson, H., & van Damme, E. (1993). Global games and equilibrium selection. Econometrica, 61, 989–1018.CrossRefGoogle Scholar
  32. Chari, V., & Jagannathan, R. (1988). Banking panics, information, and rational expectations equilibrium. Journal of Finance, 43, 749–760.CrossRefGoogle Scholar
  33. Cherian, J., & Jarrow, R. (1995). Market manipulation. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), (1995) Handbooks in operations research and management science (pp. 611–630). Amsterdam/North-Holland: Elsevier.Google Scholar
  34. Constantinides, G., & Malliaris, A. (1995). Portfolio theory. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 1–30). Amsterdam/North-Holland: Elsevier.Google Scholar
  35. Cox, J., Ingersoll, J., & Ross, S. (1985). A theory of the term structure of interest rates. Econometrica, 53, 385–407.CrossRefGoogle Scholar
  36. Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29, 67–69.CrossRefGoogle Scholar
  37. De Bondt, W., & Thaler, R. (1995). Financial decision making in markets and firms: A behavioral perspective. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 385–410). Amsterdam/North-Holland: Elsevier.Google Scholar
  38. Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40, 603–615.CrossRefGoogle Scholar
  39. Diamond, D. (1984). Financial intermediation and delegated monitoring. The Review of Economic Studies, 51, 393–414.CrossRefGoogle Scholar
  40. Diamond, D. (1989). Reputation acquisition in debt markets. Journal of Political Economy, 97, 828–862.CrossRefGoogle Scholar
  41. Diamond, D., & Dybvig, P. (1983). Bank runs, deposit insurance and liquidity. Journal of Political Economy, 91, 401–419.CrossRefGoogle Scholar
  42. Dreman, D. (1982). The new contrarian investment strategy. New York: Random House.Google Scholar
  43. Dubey, P. J., Geanakoplos, J., & Shubik, M. (1987). The revelation of information in strategic market games: A critique of rational expectations equilibrium. Journal of Mathematical Economics, 16, 105–137.CrossRefGoogle Scholar
  44. Duffie, D., & Huang, C. (1985). Implementing arrow-debreu equilibria by continuous trading of few long-lived securities. Econometrica, 53, 1337–1356.CrossRefGoogle Scholar
  45. Duffie, D., & Rahi, R. (1995). Financial market innovation and security design: An introduction. Journal of Economic Theory, 65, 1–42.CrossRefGoogle Scholar
  46. Dybvig, P., & Zender, J. (1991). Capital structure and dividend irrelevance with asymmetric information. Review of Financial Studies, 4, 201–219.CrossRefGoogle Scholar
  47. Fama, E. (1970). Efficient capital market: A review of theory and empirical work. Journal of Finance, 25, 382–417.CrossRefGoogle Scholar
  48. Fama, E. (1991). Efficient capital market, II. Journal of Finance, 46, 1575–1617.CrossRefGoogle Scholar
  49. Fama, E., & Babiak, H. (1968). Dividend policy: An empirical analysis. Journal of the American Statistical Association, 63, 1132–1161.CrossRefGoogle Scholar
  50. Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56.CrossRefGoogle Scholar
  51. Fama, E., & Macbeth, J. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 71, 607–636.CrossRefGoogle Scholar
  52. Ferson, W. (1995). Theory and empirical testing of asset pricing models. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 145–200). Amsterdam/North-Holland: Elsevier.Google Scholar
  53. Fishman, M. (1988). Theory of pre-emptive takeover bidding. The RAND Journal of Economics, 19, 88–101.CrossRefGoogle Scholar
  54. French, K. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8, 55–69.CrossRefGoogle Scholar
  55. Giammarino, R. (1988). The resolution of financial distress. Review of Financial Studies, 2, 25–47.CrossRefGoogle Scholar
  56. Gibbons, R. (1992). Game theory for applied economists. Princeton: Princeton University Press.Google Scholar
  57. Glosten, L., & Milgrom, P. (1985). Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 13, 71–100.CrossRefGoogle Scholar
  58. Grinblatt, M., & Hwang, C. (1989). Signalling and the pricing of new issues. Journal of Finance, 44, 393–420.CrossRefGoogle Scholar
  59. Grossman, S., & Hart, O. (1980). Takeover bids, the free-rider problem and the theory of the corporation. Bell Journal of Economics, 11, 42–64.CrossRefGoogle Scholar
  60. Grossman, S., & Hart, O. (1982). Corporate financial structure and managerial incentives. In J. McCall (Ed.), The economics of information and uncertainty. Chicago: University of Chicago Press.Google Scholar
  61. Grossman, S., & Stiglitz, J. (1980). On the impossibility of informationally efficient markets. The American Economic Review, 70, 393–408.Google Scholar
  62. Gul, F. (1998). A comment on Aumann’s Bayesian view. Econometrica, 66, 923–928.CrossRefGoogle Scholar
  63. Gurley, J., & Shaw, E. (1960). Money in a theory of finance. Washington, DC: The Brookings Institution.Google Scholar
  64. Halpern, J. (1986). Reasoning about knowledge: An overview. In J. Halpern (Ed.), Theoretical aspects of reasoning about knowledge. Los Altos: Morgan Kaufmann.Google Scholar
  65. Harris, M., & Raviv, A. (1991). The theory of capital structure. Journal of Finance, 46, 297–355.CrossRefGoogle Scholar
  66. Harris, M., & Raviv, A. (1993). Differences of opinion make a horse race. Review of Financial Studies, 6, 473–506.CrossRefGoogle Scholar
  67. Harrison, M., & Kreps, D. (1978). Speculative investor behavior in a stock market with heterogeneous xpectations. Quarterly Journal of Economics, 92, 323–336.CrossRefGoogle Scholar
  68. Harrison, M., & Kreps, D. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 12, 381–408.CrossRefGoogle Scholar
  69. Hart, O. (1995). Firms, contracts and financial structure. New York: Oxford University Press.CrossRefGoogle Scholar
  70. Hart, O., & Moore, J. (1989). Default and renegotiation: A dynamic model of debt (MIT working paper 520).Google Scholar
  71. Hart, O., & Moore, J. (1994). A theory of debt based on the inalienability of human capital. Quarterly Journal of Economics, 109, 841–879.CrossRefGoogle Scholar
  72. Hart, O., & Moore, J. (1998). Default and renegotiation: A dynamic model of debt. Quarterly Journal of Economics, 113, 1–41.CrossRefGoogle Scholar
  73. Haugen, R., & Senbet, L. (1978). The insignificance of bankruptcy costs to the theory of optimal capital structure. Journal of Finance, 33, 383–392.CrossRefGoogle Scholar
  74. Hawawini, G., & Keim, D. (1995). On the predictability of common stock returns: World-wide evidence. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 497–544). Amsterdam/North-Holland: Elsevier.Google Scholar
  75. Hicks, J. (1939). Value and capital. New York: Oxford University Press.Google Scholar
  76. Hirshleifer, D. (1995). Mergers and acquisitions: Strategic and informational issues. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 839–885). Amsterdam/North-Holland: Elsevier.Google Scholar
  77. Hughes, P., & Thakor, A. (1992). Litigation risk, intermediation, and the underpricing of initial public offerings. Review of Financial Studies, 5, 709–742.CrossRefGoogle Scholar
  78. Ibbotson, R. (1975). Price performance of common stock new issues. Journal of Financial Economics, 2, 235–272.CrossRefGoogle Scholar
  79. Ibbotson, R., & Ritter, J. (1995). Initial public offerings. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 993–1016). Amsterdam/North-Holland: Elsevier.Google Scholar
  80. Jacklin, C., & Bhattacharya, S. (1988). Distinguishing panics and information-based bank runs: Welfare and policy implications. Journal of Political Economy, 96, 568–592.CrossRefGoogle Scholar
  81. Jarrow, R., Maksimovic, V., & Ziemba, W. (Eds.), (1995). Handbooks in operations research and management science, Vol. 9, Finance. Amsterdam/North-Holland: Elsevier.Google Scholar
  82. Jennings, R., & Mazzeo, M. (1993). Competing bids, target management resistance and the structure of takeover bids. Review of Financial Studies, 6, 883–910.CrossRefGoogle Scholar
  83. Jensen, M. (1986). Agency costs of free cash flow, corporate finance and takeovers. The American Economic Review, 76, 323–339.Google Scholar
  84. Jensen, M., & Meckling, W. (1976). Theory of the firm: Managerial behavior, agency costs, and capital structure. Journal of Financial Economics, 3, 305–360.CrossRefGoogle Scholar
  85. John, K., & Williams, J. (1985). Dividends, dilution and taxes: A signaling equilibrium. Journal of Finance, 40, 1053–1070.CrossRefGoogle Scholar
  86. Keim, D. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12, 13–32.CrossRefGoogle Scholar
  87. Keynes, J. (1936). The general theory of employment, interest and money. New York: Harcourt Brace.Google Scholar
  88. Kraus, A., & Smith, M. (1989). Market created risk. Journal of Finance, 44, 557–569.CrossRefGoogle Scholar
  89. Kraus, A., & Smith, M. (1998). Endogenous sunspots, pseudo-bubbles, and beliefs about beliefs. Journal of Financial Markets, 1, 151–174.CrossRefGoogle Scholar
  90. Kumar, P. (1988). Shareholder-manager conflict and the information content of dividends. Review of Financial Studies, 1, 111–136.CrossRefGoogle Scholar
  91. Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315–1336.CrossRefGoogle Scholar
  92. Lee, I. (1993). On the convergence of informational cascades. Journal of Economic Theory, 61, 395–411.CrossRefGoogle Scholar
  93. Lee, I. (1998). Market crashes and informational avalanches. Review of Economic Studies, 65, 741--749.Google Scholar
  94. Leland, H., & Pyle, D. (1977). Information asymmetries, financial structure, and financial intermediation. Journal of Finance, 32, 371–388.CrossRefGoogle Scholar
  95. Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46, 97–113.Google Scholar
  96. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital assets. The Review of Economics and Statistics, 47, 13–37.CrossRefGoogle Scholar
  97. Lintner, J. (1969). The aggregation of investors’ diverse judgements and preferences in pure competitive markets. Journal of Financial and Quantitative Analysis, 4, 347–400.CrossRefGoogle Scholar
  98. Logue, D. (1973). On the pricing of unseasoned equity issues: 1965–69. Journal of Financial and Quantitative Analysis, 8, 91–103.CrossRefGoogle Scholar
  99. Loughran, T. (1993). NYSE vs. NASDAQ returns: Market microstructure or the poor performance of IPO’s? Journal of Financial Economics, 33, 241–260.CrossRefGoogle Scholar
  100. Loughran, T., & Ritter, J. (1995). The new issues puzzle. Journal of Finance, 50, 23–51.CrossRefGoogle Scholar
  101. Lucas, R., Jr. (1978). Asset prices in an exchange economy. Econometrica, 46, 1429–1445.CrossRefGoogle Scholar
  102. Maksimovic, V. (1986). Optimal capital structure in oligopolies. Unpublished Ph.D. dissertation, Harvard University.Google Scholar
  103. Maksimovic, V. (1995). Financial structure and product market competition. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 887–920). Amsterdam/North-Holland: Elsevier.Google Scholar
  104. Maksimovic, V., & Titman, S. (1991). Financial reputation and reputation for product quality. Review of Financial Studies, 2, 175–200.CrossRefGoogle Scholar
  105. Manne, H. (1965). Mergers and the market for corporate control. Journal of Political Economy, 73, 110–120.CrossRefGoogle Scholar
  106. Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7, 77–91.Google Scholar
  107. Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New York: Wiley.Google Scholar
  108. Merton, R. (1969). Lifetime portfolio selection: The continuous time case. The Review of Economics and Statistics, 51, 247–257.CrossRefGoogle Scholar
  109. Merton, R. (1971). Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory, 3, 373–413.CrossRefGoogle Scholar
  110. Merton, R. (1973a). An intertemporal capital asset pricing model. Econometrica, 41, 867–887.CrossRefGoogle Scholar
  111. Merton, R. (1973b). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141–183.CrossRefGoogle Scholar
  112. Milgrom, P., & Stokey, N. (1982). Information, trade and common knowledge. Journal of Economic Theory, 26, 17–27.CrossRefGoogle Scholar
  113. Miller, E. (1977a). Risk, uncertainty and divergence of opinion. Journal of Finance, 32, 1151–1168.CrossRefGoogle Scholar
  114. Miller, M. (1977b). Debt and taxes. Journal of Finance, 32, 261–275.Google Scholar
  115. Miller, M., & Modigliani, F. (1961). Dividend policy, growth and the valuation of shares. Journal of Business, 34, 411–433.CrossRefGoogle Scholar
  116. Miller, M., & Rock, K. (1985). Dividend policy under asymmetric information. Journal of Finance, 40, 1031–1051.CrossRefGoogle Scholar
  117. Modigliani, F., & Miller, M. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48, 261–297.Google Scholar
  118. Monderer, D., & Samet, D. (1989). Approximating common knowledge with common beliefs. Games and Economic Behavior, 1, 170–190.CrossRefGoogle Scholar
  119. Morris, S. (1995). The common prior assumption in economic theory. Economics and Philosophy, 11, 227–253.CrossRefGoogle Scholar
  120. Morris, S. (1996). Speculative investor behavior and learning. Quarterly Journal of Economics, 111, 1111–1133.CrossRefGoogle Scholar
  121. Morris, S., & Shin, H. (1997). Approximate common knowledge and coordination: Recent lessons from game theory. Journal of Logic, Language, and Information, 6, 171–190.CrossRefGoogle Scholar
  122. Morris, S., & Shin, H. (1998). Unique equilibrium in a model of self-fulfilling currency attacks. The American Economic Review, 88, 587–597.Google Scholar
  123. Morris, S., Rob, R., & Shin, H. (1995). p-dominance and belief potential. Econometrica, 63, 145–157.CrossRefGoogle Scholar
  124. Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5, 147–175.CrossRefGoogle Scholar
  125. Myers, S. (1984). The capital structure puzzle. Journal of Finance, 39, 575–592.CrossRefGoogle Scholar
  126. Myers, S., & Majluf, N. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13, 187–221.CrossRefGoogle Scholar
  127. Nyborg, K. (1995). Convertible debt as delayed equity: Forced versus voluntary conversion and the information role of call policy. Journal of Financial Intermediation, 4, 358–395.CrossRefGoogle Scholar
  128. O’Hara, M. (1995). Market microstructure theory. Cambridge, MA: Blackwell.Google Scholar
  129. Ofer, A., & Thakor, A. (1987). A theory of stock price responses to alternative corporate cash disbursement methods: Stock repurchases and dividends. Journal of Finance, 42, 365–394.CrossRefGoogle Scholar
  130. Ritter, J. (1991). The long run performance of initial public offerings. Journal of Finance, 46, 3–28.CrossRefGoogle Scholar
  131. Rock, K. (1986). Why new issues are underpriced. Journal of Financial Economics, 15, 187–212.CrossRefGoogle Scholar
  132. Ross, S. (1977a). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341–360.CrossRefGoogle Scholar
  133. Ross, S. (1977b). The determination of financial structure: The incentive signalling approach. Bell Journal of Economics, 8, 23–40.CrossRefGoogle Scholar
  134. Ross, S. (1992). Finance. In J. Eatwell, M. Milgate, & P. Newman (Eds.), The new Palgrave dictionary of money and finance (pp. 26–41). London: Macmillan.Google Scholar
  135. Rozeff, M., & Kinney, W. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3, 379–402.CrossRefGoogle Scholar
  136. Rubinstein, A. (1989). The electronic mail game: Strategic behavior under ‘almost common knowledge’. The American Economic Review, 79, 385–391.Google Scholar
  137. Ruud, J. (1993). Underwriter price support and the IPO underpricing puzzle. Journal of Financial Economics, 34, 135–151.CrossRefGoogle Scholar
  138. Senbet, L., & Seward, J. (1995). Financial distress, bankruptcy and reorganization. In R. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in operations research and management science (pp. 921–961). Amsterdam/North-Holland: Elsevier.Google Scholar
  139. Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425–442.Google Scholar
  140. Shiller, R. (1990). Speculative prices and popular models. The Journal of Economic Perspectives, 4, 55–65.CrossRefGoogle Scholar
  141. Shin, H. (1996). Comparing the robustness of trading systems to higher order uncertainty. The Review of Economic Studies, 63, 39–60.CrossRefGoogle Scholar
  142. Shleifer, A., & Vishny, R. (1986a). Large shareholders and corporate control. Journal of Political Economy, 94, 461–488.CrossRefGoogle Scholar
  143. Shleifer, A., & Vishny, R. (1986b). Greenmail, white knights, and shareholders’ interest. The RAND Journal of Economics, 17, 293–309.CrossRefGoogle Scholar
  144. Stattman, D. (1980). Book values and expected stock returns. Unpublished MBA Honors paper, University of Chicago, Chicago.Google Scholar
  145. Stein, J. (1992). Convertible bonds as backdoor equity financing. Journal of Financial Economics, 32, 3–21.CrossRefGoogle Scholar
  146. Stiglitz, J., & Weiss, A. (1981). Credit rationing in markets with imperfect information. The American Economic Review, 71, 393–410.Google Scholar
  147. Thakor, A. (1991, Spring). Game theory in finance. Financial Management, 20, 71–94.Google Scholar
  148. Thakor, A. (1996). The design of financial systems: An overview. Journal of Banking and Finance, 20, 917–948.CrossRefGoogle Scholar
  149. Titman, S. (1984). The effect of capital structure on the firm’s liquidation decision. Journal of Financial Economics, 13, 137–152.CrossRefGoogle Scholar
  150. Tobin, J. (1958). Liquidity preference as behavior toward risk. The Review of Economic Studies, 25, 65–86.CrossRefGoogle Scholar
  151. Varian, H. (1989). Differences of opinion in financial markets. In C. Stone (Ed.), Financial risk: Theory, evidence and implications. Boston: Kluwer Academic.Google Scholar
  152. von Neumann, J., & Morgenstern, O. (1947). Theory of games and economic behavior (2nd ed.). Princeton: Princeton University Press.Google Scholar
  153. von Thadden, E. (1995). Long-term contracts, short-term investment and monitoring. The Review of Economic Studies, 62, 557–575.CrossRefGoogle Scholar
  154. Webb, D. (1987). The importance of incomplete information in explaining the existence of costly bankruptcy. Economica, 54, 279–288.CrossRefGoogle Scholar
  155. Welch, I. (1989). Seasoned offerings, imitation costs, and the underpricing of initial public offerings. Journal of Finance, 44, 421–449.CrossRefGoogle Scholar
  156. Welch, I. (1992). Sequential sales, learning, and cascades. Journal of Finance, 47, 695–732.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Wharton SchoolUniversity of PennsylvaniaPhiladelphiaUSA
  2. 2.Department of EconomicsPrinceton UniversityPrincetonUSA

Personalised recommendations