Related papers: Merger Analysis with Unobserved Prices
This paper develops a flexible approach to predict the price effects of horizontal mergers using ML/AI methods. While standard merger simulation techniques rely on restrictive assumptions about firm conduct, we propose a data-driven…
Market definition holds significant importance in antitrust cases, yet achieving consensus on the correct approach remains elusive. As a result, analysts routinely entertain multiple market definitions to ensure the resilience of their…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
Antitrust authorities routinely rely on market concentration measures to assess the potential adverse effects of mergers on consumer welfare. Using a first-order approximation argument with logit and CES demand, I derive the relationship…
In this article, we introduce the method of urban association rules and its uses for extracting frequently appearing combinations of stores that are visited together to characterize shoppers' behaviors. The Apriori algorithm is used to…
Merging beliefs requires the plausibility of the sources of the information to be merged. They are typically assumed equally reliable in lack of hints indicating otherwise; yet, a recent line of research spun from the idea of deriving this…
I present a structural empirical model of a one-sided one-to-many matching with complementarities to quantify the effect of subsidy design on endogenous merger matching. I investigate shipping mergers and consolidations in Japan in 1964. At…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
I examine how upstream mergers affect negotiated prices when suppliers bargain with a monopoly intermediary selling products to final consumers. Conventional wisdom holds that such transactions lower negotiated prices when the products are…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
Major bank mergers and acquisitions (M&A) transform the financial market structure, but their valuation and spillover effects remain open to question. This study examines the market reaction to two M&A events: the 2005 creation of…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
The complementarity and substitutability between products are essential concepts in retail and marketing. Qualitatively, two products are said to be substitutable if a customer can replace one product by the other, while they are…
I use matched employer-employee records merged with corporate tax information from 2003 to 2017 to estimate labor market-wide effects of mergers and acquisitions in Brazil. Labor markets are defined by pairs of commuting zone and industry…