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  1. The war of attrition under uncertainty
    theory and robust testable implications
    Author: Décamps, Jean-Paul; Gensbittel, Fabien; Mariotti, Thomas
    Published: December 2023
    Publisher:  CESifo, Munich, Germany

    We study a generic model of the war of attrition with symmetric information and stochastic payoffs that depend on a homogeneous linear diffusion. We first show that a player's mixed Markov strategy can be represented by an intensity measure over the... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    We study a generic model of the war of attrition with symmetric information and stochastic payoffs that depend on a homogeneous linear diffusion. We first show that a player's mixed Markov strategy can be represented by an intensity measure over the state space together with a subset of the state space over which the player concedes with probability 1. We then show that, if players are asymmetric, then, in all mixed-strategy Markov-perfect equilibria, these intensity measures must be discrete, and characterize any such equilibrium through a variational system for the players' value functions. We illustrate these findings by revisiting the standard model of exit in a duopoly under uncertainty and construct a mixed-strategy Markov-perfect equilibrium in which attrition takes place on path despite firms having different liquidation values. We show that firms' stock prices comove negatively over the attrition zone and exhibit resistance and support patterns documented by technical analysis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/282499
    Series: CESifo working papers ; 10811 (2023)
    Subjects: war of attrition; mixed-strategy equilibrium; uncertainty
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  2. Strategic responses under increasing uncertainty
    flight cancellation decisions by domestic airlines
    Author: Ko, Ryuya; Ohashi, Hiroshi
    Published: December 2023
    Publisher:  Tokyo Center for Economic Research, Tokyo, Japan

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 773
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: TCER working paper series ; E-196
    Subjects: war of attrition; market structure; uncertainty; duration; announcement
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen