Emre Ozdenoren Assistant Professor, Department of Economics PhD, Northwestern University, 2000

Professor Ozdenoren's research interests include microeconomic theory, decision theory, contract theory and game theory. Currently he works on auction and bargaining models where the players are possibly uncertainty averse. He also works on (1) dynamic models of decision making in the presence of uncertainty or ambiguity; (2) modeling choice behavior in a complex environment; (3) the role of intermediation in innovation and financial intermediaries.

SELECTED PAPERS

Casadesus-Masanell, Ramon, Peter Klibanoff and Emre Ozdenoren, "Maxmin Expected Utility over Savage Acts with a Set of Priors," Journal of Economic Theory, 92(1), May 2000, 35-65. Casadesus-Masanell, Ramon, Peter Klibanoff and Emre Ozdenoren, "Maxmin Expected Utility Through Statewise Combinations," Economics Letters, 66(1), January 2000, 49-54. Ozdenoren, Emre, "Completing the State Space with Subjective States," Journal of Economic Theory, forthcoming. Al-Najjar, Nabil, Ramon Casadesus-Masanell and Emre Ozdenoren, "Probabilistic Representation of Complexity," April 2001. Ozdenoren, Emre, ""Auctions and Bargaining with a Set of Priors," University of Michigan, October 1999. Hoppe, Heidrun and Emre Ozdenoren, "Intermediation in Innovation," University of Michigan, March 2001.

http://www.econ.lsa.umich.edu/

Stephen W. Salant Professor, Department of Economics PhD, University of Pennsylvania, 1973

Professor Salant is an applied microtheorist with specialization in the fields of industrial organization and natural resource economics. Among the subjects he has addressed in his research are: the appropriate interpretation of government statistics on the duration of unemployment, the effects of anticipated and actual government policies on the price of gold, the cause of speculative attacks on government bufferstocks, the future behavior of OPEC, the design of a self-enforcing international agreements among oil-consuming nations, the effects of treble-damage penalties on price-fixing behavior, and the economic decisions of organizations (agricultural marketing boards, cartels, international commodity organizations, prorationing boards, etc.) which select quantity restrictions by voting processes.

SELECTED PAPERS

Salant, Stephen W., "Search Theory and Duration Data: A Theory of Sorts," Quarterly Journal of Economics, 91(1), Feb. 1977, 39-57. Salant, Stephen W., "Market Anticipation of Government Policies and the Price of Gold," Journal of Political Economy, 86(4), Aug. 1978, 627-48. Bagnoli, Mark, Stephen W. Salant and Joseph E. Swierzbinski, "Durable Goods Monopoly with Discrete Demand," Journal of Political Economy, 97(6), December 1989, 1459-78. Gaudet, Gerard and Stephen W. Salant, "Increasing the Profits of a Subset of Frims in Oligopoly Models with Strategic Substitutes," American Economic Review, 81(3), June 1991, 658-65. Cave, Jonathan and Stephen W. Salant, "Cartel Quotas under Majority Rule," American Economic Review, 85(1), March 1995, 82-102. Reprinted in Agricultural Markets: Mechanisms, Failures and Regulations, ed. David Martimort, North Holland: July 1996. Salant, Stephen W. and Greg Shaffer, "Unequal Treatment of Identical Agents in Cournot Equilibrium: Private and Social Advantages," American Economic Review, 89(3), June 1999, 585-604. Gaudet, Gerard, Michael Moreaux and Stephen W. Salant, "Intertemproal Depletion of Resource Sites by Spatially Distributed Users," American Economic Review, forthcoming September 2001.

RESEARCH INTERESTS

Environmental Economics

Experimental Economics

Industrial Organization

Microeconomic Theory

Natural Resources

http://www.econ.lsa.umich.edu/

以下是商学院金融系的相关学者

M.P. NarayananProfessor of Finance

Ph.D, Northwestern University, 1983 M.E., Indian Institute Of Science, 1971 B.E., University Of Madras, 1969

Professor Narayanan縮 current research activity focuses on corporate scope (conglomeration, divestitures), managerial behavior, and management compensation. On corporate scope, he has written about the motives for divestitures, how conglomeration can result in inefficient capital allocation, and about the patterns of corporate diversification across various industries and over time. On managerial compensation, he has written about how various compensation schemes distort managerial decision horizons, causing, for example, managerial myopia.

M.P. Narayanan University of Michigan Business School 701 Tappan St. Ann Arbor, MI 48109-1234 Office Location: D6202

Phone: (734) 763-5936 E-Mail: mpn@umich.edu

Tyler (Tyler) ShumwayAssociate Professor of Finance

Dr. Shumway縮 research interests include asset-pricing theory and empirical tests of asset-pricing models, behavioral finance, and credit risky market efficiency.

Tyler (Tyler) Shumway University of Michigan Business School 701 Tappan St. Ann Arbor, MI 48109-1234 Office Location: D5206

Phone: (734) 763-4129 Fax: (734) 936-8716 E-Mail: shumway@umich.edu Personal Site: www.umich.edu/~shumway

Good Day Sunshine: Stock Returns and the Weather David Hirshleifer and Tyler Shumway August, 2001 Abstract Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country's leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982-97. Sunshine is strongly significantly correlated with daily stock returns. After controlling for sunshine, rain and snow are unrelated to returns. There were positive net-of-transaction costs profits from substantial use of weather-based strategies, but the magnitude of the gains was fairly modest. These findings are difficult to reconcile with fully rational price-setting.

Do Behavioral Biases Affect Prices? Joshua D. Coval and Tyler Shumway May, 2001 Abstract This paper documents strong evidence of behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse. Traders who experience morning losses are about 16 percent more likely to assume above-average afternoon risk than traders with morning gains. This behavior has important short-term consequences for afternoon prices, as losing traders are prepared to purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, during the ten minutes that follow these trades, prices revert strongly to their earlier levels. Consistent with these findings, short-term afternoon price volatility is positively related to the prevalence of morning losses among locals, but overall afternoon price volatility is not.

Can Individual Investors Beat the Market? Joshua D. Coval, David Hirshleifer and Tyler Shumway December, 2002 Abstract We document strong persistence in the performance of trades of individual investors. Investors classified in the top 10 percent place other trades that on average earn excess returns of 15 basis points per day. A rolling-forward strategy of going long firms purchased by previously successful investors and shorting firms purchased by previously unsuccessful investors results in excess returns of 5 basis points per day. These returns are not confined to small stocks nor to stocks in which the investors are likely to have inside information. Our results suggest that skillful individual investors exploit market inefficiencies to earn abnormal profits, above and beyond any profits available from well-known strategies based upon size, value, or momentum.

Explaining Returns with Loss Aversion Tyler Shumway December 29, 1997 Abstract I develop and test an equilibrium asset pricing model based on loss averse investors. The model specifies a pricing kernel that is a nonmonotonic function of the market return. It also implies that investors demand a higher risk premium for risk associated with negative market returns than for positive market returns. The model assumes rational expectations and is consistent with no-arbitrage pricing. Estimates of the model's parameters are similar to values reported elsewhere. As the loss aversion literature predicts, the accuracy of the model depends on the frequency with which data is observed. Consistent with Benartzi and Thaler (1995), the model explains annual returns better than competing models, but it does not explain monthly, quarterly, or half-year returns. The model fits both returns that reflect the equity premium and stock returns alone.

[此贴子已经被作者于2004-9-28 20:47:30编辑过]

Kathy Yuan

Assistant Professor of Finance, Ph.D., MIT University of Michigan Business School 701 Tappan Street, D5204 Ann Arbor, MI 48109-1234 phone: 734-763-6039 fax: 734-936-8716

kyuan@umich.edu

:

http//webuser.bus.umich.edu/kyuan/

Research Interests

Asset Pricing, Information Economics, Market Microstructure, Behavioral Finance, International Finance

Papers

Asymmetric Price Movements and Borrowing Constraints: A REE Model of Crisis, Contagion, and Confusion (Forthcoming in the Journal of Finance: The application part of my job market paper)

Securities Trading under Asymmetric Information and Trading Constraints (August, 2004) (The theory part of my job market paper.)

The Liquidity Service of Sovereign Bonds (August, 2003) (w/ Bob Dittmar) (AFA 2002)

Are Investors Moonstruck? Lunar Phases and Stock Returns (w/ Lu Zheng and Qiaoqiao Zhu) (September, 2001)

How Do Crises Spread? Evidence from Investable and Non-investable Stock Indices (w/ Brian Boyer and Tomomi Kumagai) (AFA 2003)

Local Risk Neutrality Puzzle and Decision Costs (November, 2003)

The Liquidity Service of Benchmark Securities (July, 2004)

On the Growth Effect of Stock Market Liberalizations (w/ Nandini Gupta) (August, 2004)