Programma

Riferimenti bibliografici con l’asterisco costituiscono materiale di approfondimento utile per l’esame orale.

Microeconomia per la finanza (D. Di Cagno – E. Sciubba)
Scelte individuali

I settimana
Richiami di microeconomia


II settimana
Scelte in condizioni di incertezza (in laboratorio)
Letture consigliate:
John Hey (1998), Esperimenti in economia, Giappichelli (ed. it. a cura di D. Di Cagno).
Letture consigliate: Varian, H. (ult.ed.), Microeconomia, Cafoscarina,  capp. 12 e 13.
Hey, J.D. (2007), Microeconomia, Aracne Editrice, capp.23 e 24.
*Machina, M. (1987), “Choice Under Uncertainty: Problems Solved and Unsolved” Economic Perspectives, 1, pp.121-154.
*Cox J. et al. (2008), Is there a Plausible Theory for Decision under Risk?, Experimental Economic Center Wp. 2008-04, Georgia State University.

III settimana
Introduzione sui mercati finanziari e teoria dei mercati efficienti
Letture consigliate: Brealey R., Myers S., Allen, F. e Sandri, S. (2007), Principles of Corporate Finance, Mc Graw Hill, cap.13.
*Hasbrouck J.(2007), Empirical Market Microstructure, Oxford University Press.
 

IV settimana
Auctions
Letture consigliate: Gibbons R. (1994), Teoria dei giochi, Il Mulino.
*Klemperer, P.(2004), Auctions: Theory and Practice, Princeton University Press, http://www.paulklemperer.org/, capp. 1 e 2.
*Kagel J. e Levin D. (2008), Auctions: A survey of experimental research, mimeo.

V settimana
Microstruttura dei mercati finanziari: modelli delle scorte
Letture consigliate: O’Hara  M.(2008), Market Microstructure Theory, cap. 2.
*Stoll H. (1978),” The supply of dealer services in securities markets”, Journal of Finance, 33, pp. 1133-1151.

VI settimana 

Microstruttura dei mercati finanziari: modelli basati sull’informazione
Letture consigliate:. O’Hara M.(2008), Market Microstructure Theory, capp. 3 e 4.
*Glosten L. and Milgrom P.(1985), “Bid Ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics, 13, pp. 71-100.
*Kyle A.S.(1985), “Continuous auctions and insider trading”, Econometrica, 53, pp. 1315-1336.
Microstruttura dei mercati finanziari: modelli con aspettative razionali
Letture consigliate:. O’Hara M.(2008), Market Microstructure Theory, capp. 4 e 6.
*Grossman S.J. e Stiglitz J.E. (1980), “On the impossibility of informationally efficient markets”, American Economic Review,70, pp. 393-408.

VII settimana
Behavioural finance
Letture consigliate: Shleifer A. (2000), Inefficient Markets: an introduction to behavioural finance, Oxford University Press.
*Shiller,R. (2000). Irrational Exuberance, Princeton University Press.
*Barberis, N. e Thaler, R. (2002), “A Survey of Behavioural Finance”, NBER Working Paper 9222.

VIII settimana

Asimmetrie informative: adverse selection and Moral hazard: principal agent
Letture consigliate:
I Macho – Stadler e J.D. Perez –  Castrillo, An introduction to the economics of Information, Oxford University Press, 2000
Laffont J.J. e Martimort D. (2001), The Theory of Incentives: The Principal-Agent Model, Princeton University Press.
*Di Cagno, D. e Sciubba, E. (2000), “Institutional Design as a Commitment Device in Credit Markets with Asymmetric Information: Experimental Evidence”, Economic Notes, 2, pp.281-333.
*Holt, Charles A., and Roger Sherman (1999) “Classroom Games: A Market for Lemons,” Journal of Economic Perspectives, 13:1, 205-214.
Letture consigliate: Laffont J.J. e Martimort D. (2001), The Theory of Incentives: The Principal-Agent Model, Princeton University Press.
*Cason T.C., Gangadharan, L. e Maitra P. (2008). Moral Hazard and Peer Monitoring in a Laboratory Microfinance Experiment, Purdue University Economics Working Papers 1208, Purdue University, Department of Economics.

IX settimana
Ambiguity e mercati finanziari
Letture consigliate: Sunder, S., “Experimental asset markets: a survey”, in Kagel,J.e Roth, A. (ult. ed.), The Handbook  of Experimental Economics, Princeton University Press.
* Bossaert P., Guarnaschelli S., Ghirardato P. e Zame W. (2006), Ambiguity in Asset Markets: Theory and Experiments, mimeo.

X settimana
Bubbles, crashes and herding: a rational approach
Letture consigliate: Brunnermeier M. K.(2001), Asset pricing under asymmetric information: Bubbles, Crashes, Technical Analysis and Herding, Oxford University Press.
*Ponti G. e al. (2001), Error Cascades in Observational Learning: An Experiment on Chinos Game, mimeo.