Risk aversion and herd behavior in financial markets

We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that financial market prices do not converge to the asset's fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. These results are obtained without introducing multidimensional uncertainty.herd behavior; stock markets; efficiency

Market informational inefficiency, risk aversion and quantity grid

In this paper we show that long run market informational inefficiency is perfectly compatible with standard rational sequential trade models. Our inefficiency result is obtained taking into account two features of actual financial markets: tradable quantities belong to a quantity grid and traders and market makers do not have the same degree of risk aversion. The implementation of our model for reasonable values of the parameters suggests that the long term deviations between asset prices and fundamental value are important. We explain the ambiguous role of the quantity grid in exacerbating or mitigating market inefficiency. We show that stock splits can improve the information content of the order flow and consequently increase price volatility.informational efficiency; quantity grid; stock splits

A Structural Econometric Investigation of the Agency Theory of Financial Structure

We estimate a structural model of financing choices in presence of managerial moral hazard, financial distress costs and taxes. In the theoretical model, firms with low cost of managerial effort, and high financial distress costs and non--debt tax shields, find it optimal to issue equity. Correspondingly the likelihood that a given firm issues equity is the probability that its managerial cost of effort is below an upper bound, reflecting its financial distress cost and non debt tax shields, as well as the other deep parameters of the model. Similarly we characterize the likelihood of issues of debt and convertible bonds. Using maximum likelihood analysis, we confront this theoretical model to data on financing choices by French firms in 1996. We find large costs of financial distress, equal on average to 41.2\% of the value of the firm when it is in distress. We also find large agency costs, equal to 40.26\% of the value of the investment project. In contrast, we find that tax shields do not play a significant role in the financing decision.

Thrombocytopenia and platelet transfusions in ICU patients: an international inception cohort study (PLOT-ICU)

Purpose Thrombocytopenia (platelet count < 150 × 109/L) is common in intensive care unit (ICU) patients and is likely associated with worse outcomes. In this study we present international contemporary data on thrombocytopenia in ICU patients. Methods We conducted a prospective cohort study in adult ICU patients in 52 ICUs across 10 countries. We assessed frequencies of thrombocytopenia, use of platelet transfusions and clinical outcomes including mortality. We evaluated pre-selected potential risk factors for the development of thrombocytopenia during ICU stay and associations between thrombocytopenia at ICU admission and 90-day mortality using pre-specified logistic regression analyses. Results We analysed 1166 ICU patients; the median age was 63 years and 39.5% were female. Overall, 43.2% (95% confidence interval (CI) 40.4–46.1) had thrombocytopenia; 23.4% (20–26) had thrombocytopenia at ICU admission, and 19.8% (17.6–22.2) developed thrombocytopenia during their ICU stay. Non-AIDS-, non-cancer-related immune deficiency, liver failure, male sex, septic shock, and bleeding at ICU admission were associated with the development of thrombocytopenia during ICU stay. Among patients with thrombocytopenia, 22.6% received platelet transfusion(s), and 64.3% of in-ICU transfusions were prophylactic. Patients with thrombocytopenia had higher occurrences of bleeding and death, fewer days alive without the use of life-support, and fewer days alive and out of hospital. Thrombocytopenia at ICU admission was associated with 90-day mortality (adjusted odds ratio 1.7; 95% CI 1.19–2.42). Conclusion Thrombocytopenia occurred in 43% of critically ill patients and was associated with worse outcomes including increased mortality. Platelet transfusions were given to 23% of patients with thrombocytopenia and most were prophylactic.publishedVersio

Market Informational Inefficiency, Risk Aversion and Quantity Grid

Cahier de Recherche du Groupe HEC Paris, n° 770In this paper we show that long run market informational inefficiency is perfectly compatible with standard rational sequential trade models. Our inefficiency result is obtained taking into account two features of actual financial markets: tradable quantities belong to a quantity grid and traders and market makers do not have the same degree of risk aversion. The implementation of our model for reasonable values of the parameters suggests that the long term deviations between asset prices and fundamental value are important. We explain the ambiguous role of the quantity grid in exacerbating or mitigating market inefficiency. We show that stock splits can improve the information content of the order flow and consequently increase price volatility