Strategic risk aversion

References

• Anderson , RW and Caverhill , A . 2007 . Liquidity and capital structure CEPR Discussion Papers No. 6044, Centre for Economic Policy Research
   Google Scholar
• Barlevy , G and Veronesi , P . 2000 . Information acquisition in financial markets . Review of Economic Studies , 67 : 79 – 90 .
   Google Scholar
• Bernheim , D and Whinston , M . 1986 . Menu auctions, resource allocations, and economic influence . Quarterly Journal of Economics , 101 : 1 – 31 .
   Web of Science ®Google Scholar
• Biais , B , Martimort , D and Rochet , J-C . 2000 . Competing mechanisms in a common value environment . Econometrica , 68 : 799 – 837 .
   Web of Science ®Google Scholar
• Black , F . 1995 . Equilibrium exchanges . Financial Analysts Journal , 51 : 23 – 9 .
   Google Scholar
• Bond , P . 2003 . Incentive compatible contractible information . Economic Theory , 22 : 375 – 94 .
   Google Scholar
• Cochrane , JH . 2005 . Asset Pricing, Revised edn , Princeton : Princeton University Press .
   Google Scholar
• Crawford , VP and Varian , HR . 1979 . Distortion of preferences and the Nash theory of bargaining . Economics Letters , 3 : 203 – 6 .
   Google Scholar
• Fama , EF . 1991 . Efficient capital markets: II . Journal of Finance , 46 : 1575 – 617 .
   Web of Science ®Google Scholar
• Green , EJ and Lin , P . 2000 . Diamond and Dybvig's classic theory of financial intermediation: what's missing? Quarterly Review Federal Reserve Bank of Minneapolis, pp. 3–13
   Google Scholar
• Gunderson , JE . 2006 . Nonrevealing equilibria and consumption-based asset pricing models . B.E. Journals in Theoretical Economics: Topics in Theoretical Economics , 6 : 1 – 17 .
   Google Scholar
• Heath , D , Jarrow , R and Morton , A . 1991 . Contingent claim valuation with a random evolution of interest rates . Review of Futures Markets , 9 : 54 – 76 .
   Google Scholar
• Holden , CW and Subrahmanyam , A . 1996 . Risk aversion, liquidity, and endogenous short horizons . Review of Financial Studies , 9 : 691 – 722 .
   Google Scholar
• Huang , C-F and Litzenberger , RH . 1988 . Foundations for Financial Economics , Upper Saddle River : Prentice-Hall .
   Google Scholar
• Jackson , MO . 1991 . Equilibrium, price formation, and the value of private information . Review of Financial Studies , 4 : 1 – 16 .
   Web of Science ®Google Scholar
• Kalai , E and Smorodinsky , M . 1975 . Other solutions to Nash's bargaining problem . Econometrica , 43 : 513 – 18 .
   Web of Science ®Google Scholar
• Kandel , S and Stambaugh , RF . 1991 . Asset returns and intertemporal preferences . Journal of Monetary Economics , 27 : 39 – 71 .
   Web of Science ®Google Scholar
• Klemperer , PD and Meyer , MA . 1989 . Supply function equilibria in oligopoly under uncertainty . Econometrica , 57 : 1243 – 77 .
   Web of Science ®Google Scholar
• Kurz , M . 1977 . Distortion of preferences, income distribution, and the case for a linear income tax . Journal of Economic Theory , 14 : 291 – 8 .
   Google Scholar
• Kyle , AS . 1989 . Informed speculation with imperfect competition . Review of Economic Studies , 56 : 317 – 55 .
   Web of Science ®Google Scholar
• Lehar , A . 2005 . Measuring systemic risk: a risk management approach . Journal of Banking and Finance , 29 : 2577 – 603 .
   Web of Science ®Google Scholar
• LeRoy , SF and Werner , J . 2001 . Principles of Financial Economics , Cambridge : Cambridge University Press .
   Google Scholar
• Li , J . 2009 . Information structures with unawareness . Journal of Economic Theory , 144 : 977 – 93 .
   Google Scholar
• Massoud , N and Bernhardt , D . 1999 . Stock market dynamics with rational liquidity traders . Journal of Financial Markets , 2 : 359 – 89 .
   Google Scholar
• McAfee , P . 1993 . Mechanism design by competing sellers . Econometrica , 61 : 1281 – 312 .
   Web of Science ®Google Scholar
• Mehra , R and Prescott , EC . 1985 . The equity premium: a puzzle . Journal of Monetary Economics , 15 : 145 – 61 .
   Web of Science ®Google Scholar
• Muroi , Y . 2005 . Pricing contingent claims with credit risk: asymptotic expansion approach . Finance and Stochastics , 9 : 415 – 27 .
   Google Scholar
• Nash , J . 1950 . The bargaining problem . Econometrica , 18 : 155 – 62 .
   Web of Science ®Google Scholar
• Osborne , MJ and Rubinstein , A . 1994 . A Course in Game Theory , Cambridge : MIT Press .
   Google Scholar
• Phillips , PCB and Yu , J . 2009 . Simulation-based estimation of contingent-claims prices . Review of Financial Studies , 22 : 3669 – 705 .
   Web of Science ®Google Scholar
• Raiffa , H . 1953 . “ Arbitration schemes for generalized two-person games ” . In Contributions to the Theory of Games II , Edited by: Kuhn , HW and Tucker , AW . 361 – 87 . Princeton : Princeton University Press .
   Google Scholar
• Shubik , M . 1977 . Competitive equilibrium contingent commodities and information . Journal of Finance , 32 : 189 – 93 .
   Google Scholar
• Siegel , JJ and Thaler , RH . 1997 . The equity premium puzzle . Journal of Economic Perspectives , 11 : 191 – 200 .
   Web of Science ®Google Scholar
• Sobel , J . 1981 . Distortion of utilities and the bargaining problem . Econometrica , 49 : 597 – 620 .
   Google Scholar
• Wilson , R . 1978 . Information, efficiency, and the core of an economy . Econometrica , 46 : 807 – 16 .
   Google Scholar