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Veldkamp, Laura

Overview
Works: 23 works in 110 publications in 1 language and 782 library holdings
Classifications: HB172.5, 339.5
Publication Timeline
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Publications about Laura Veldkamp
Publications by Laura Veldkamp
Most widely held works by Laura Veldkamp
Information choice in macroeconomics and finance by Laura Veldkamp( Book )
8 editions published in 2011 in English and held by 289 libraries worldwide
Most theories in economics and finance predict what people will do, given what they know about the world around them. But what do people know about their environments? The study of information choice seeks to answer this question, explaining why economic players know what they know--and how the information they have affects collective outcomes. Instead of assuming what people do or don't know, information choice asks what people would choose to know. Then it predicts what, given that information, they would choose to do. In this textbook, Laura Veldkamp introduces graduate students in economics and finance to this important new research. The book illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas. It shows how to build and test applied theory models with information frictions and it covers recent work on topics such as rational inattention, information markets, and strategic games with heterogeneous information
Aggregate shocks or aggregate information? costly information and business cycle comovement by Laura Veldkamp( file )
17 editions published in 2006 in English and held by 84 libraries worldwide
Synchronized expansions and contractions across sectors define business cycles. Yet synchronization is puzzling because productivity across sectors exhibits weak correlation. While previous work examined production complementarity, our analysis explores complementarity in information acquisition. Because information about future productivity has a high fixed cost of production and a low marginal cost of replication, sectors can share the cost to forecast their sector-specific productivity. Sectors with common, aggregate information make highly correlated productions choices. By filtering out sector-specific shocks and transmitting aggregate ones, information markets amplify business-cycle comovement
Information immobility and the home bias puzzle by Stijn van Nieuwerburgh( file )
5 editions published in 2007 in English and held by 42 libraries worldwide
Many papers have argued that home bias arises because home investors can predict payoffs of their home assets more accurately than foreigners can. But why does this information advantage exist in a world where everyone can read the same newspapers, earnings announcements and analyst reports and why would that advantage be large? We model investors who are endowed with a small home information advantage. They can choose what information to learn before they invest in many risky assets. Surprisingly, even when home investors can learn what foreigners know, they choose not to. The reason is that investors profit more from knowing information that others do not know. Allowing investors to learn amplifies their initial information asymmetry. The model can explain local and industry bias as well as patterns of foreign investments, portfolio out-performance and asset prices. Finally, we outline new avenues for empirical research
Germs, social networks and growth by Alessandra Fogli( Computer File )
9 editions published in 2012 in English and held by 41 libraries worldwide
Does the pattern of social connections between individuals matter for macroeconomic outcomes? If so, how does this effect operate and how big is it? Using network analysis tools, we explore how different social structures affect technology diffusion and thereby a country's rate of technological progress. The network model also explains why societies with a high prevalence of contagious disease might evolve toward growth-inhibiting social institutions and how small initial differences can produce large divergence in incomes. Empirical work uses differences in the prevalence of diseases spread by human contact and the prevalence of other diseases as an instrument to identify an effect of social structure on technology diffusion
Information acquisition and under-diversification by Stijn van Nieuwerburgh( file )
6 editions published in 2008 in English and held by 41 libraries worldwide
If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the investor holds depend on the information he observes. We build a framework to solve jointly for investment and information choices, with a variety of preferences and information cost functions. Although the optimal research strategies depend on preferences and costs, the main result is that the investor who can first collect information systematically deviates from holding a diversified portfolio. Information acquisition can rationalize investing in a diversified fund and a concentrated set of assets, an allocation often observed, but usually deemed anomalous
Ratings shopping and asset complexity a theory of ratings inflation by Vasiliki Skreta( Computer File )
7 editions published between 2008 and 2009 in English and held by 40 libraries worldwide
Many identify inflated credit ratings as one contributor to the recent financial market turmoil. We develop an equilibrium model of the market for ratings and use it to examine possible origins of and cures for ratings inflation. In the model, asset issuers can shop for ratings -- observe multiple ratings and disclose only the most favorable -- before auctioning their assets. When assets are simple, agencies' ratings are similar and the incentive to ratings shop is low. When assets are sufficiently complex, ratings differ enough that an incentive to shop emerges. Thus, an increase in the complexity of recently-issued securities could create a systematic bias in disclosed ratings, despite the fact that each ratings agency produces an unbiased estimate of the asset's true quality. Increasing competition among agencies would only worsen this problem. Switching to an investor-initiated ratings system alleviates the bias, but could collapse the market for information
Time-varying fund manager skill by Marcin Kacperczyk( Computer File )
9 editions published between 2011 and 2012 in English and held by 40 libraries worldwide
Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms and recessions and finds that the extent to which managers focus on stock picking or market timing fluctuates with the state of the economy. Stock picking is more prevalent in booms, while market timing dominates in recessions. We use this finding to develop a new methodology for detecting managerial skill. The results suggest that some but not all managers have skill. We describe the characteristics of the skilled managers and show that skilled managers significantly outperform the market
Nature or nurture? learning and the geography of female labor force participation by Alessandra Fogli( Computer File )
6 editions published in 2008 in English and held by 39 libraries worldwide
One of the most dramatic economic transformations of the past century has been the entry of women into the labor force. While many theories explain why this change took place, we investigate the process of transition itself. We argue that local information transmission generates changes in participation that are geographically heterogeneous, locally correlated and smooth in the aggregate, just like those observed in our data. In our model, women learn about the effects of maternal employment on children by observing nearby employed women. When few women participate in the labor force, data is scarce and participation rises slowly. As information accumulates in some regions, the effects of maternal employment become less uncertain, and more women in that region participate. Learning accelerates, labor force participation rises faster, and regional participation rates diverge. Eventually, information diffuses throughout the economy, beliefs converge to the truth, participation flattens out and regions become more similar again. To investigate the empirical relevance of our theory, we use a new county-level data set to compare our calibrated model to the time-series and geographic patterns of participation
Attention allocation over the business cycle by Marcin Kacperczyk( Computer File )
5 editions published in 2009 in English and held by 37 libraries worldwide
The invisibility of information precludes a direct test of attention allocation theories. To surmount this obstacle, we develop a model that uses an observable variable -- the state of the business cycle -- to predict attention allocation. Attention allocation, in turn, predicts aggregate investment patterns. Because the theory begins and ends with observable variables, it becomes testable. We apply our theory to a large information-based industry, actively managed equity mutual funds, and study its investment choices and returns. Consistent with the theory, which predicts cyclical changes in attention allocation, we find that in recessions, funds' portfolios (1) covary more with aggregate payoff-relevant information, (2) exhibit more cross-sectional dispersion, and (3) generate higher returns. The results suggest that some, but not all, fund managers process information in a value-maximizing way for their clients and that these skilled managers outperform others
Leadership, coordination and mission-driven management by Patrick Bolton( file )
6 editions published in 2008 in English and held by 34 libraries worldwide
What makes a good leader? A good leader is able to coordinate his followers around a credible mission statement, which communicates the future course of action of the organization. In practice, leaders learn about the best course of action for the organization over time. While learning helps improve the organization's goals it also creates a time-consistency problem. Leader resoluteness is a valuable attribute in such a setting, since it slows down the leader's learning and thus improves the credibility of the mission statement. But resolute leaders also inhibit communication with followers and leader resoluteness is costly when followers have sufficiently valuable signals
Income dispersion and counter-cyclical markups by Chris Edmond( file )
5 editions published in 2008 in English and held by 33 libraries worldwide
Recent advances in measuring cyclical changes in the income distribution raise new questions: How might these distributional changes affect the business cycle itself? We show how counter-cyclical income dispersion can generate counter-cyclical markups in the goods market, without any preference shocks or price-setting frictions. In recessions, heterogeneous labor productivity shocks raise income dispersion, lower the price elasticity of demand, and increase imperfectly competitive firms' optimal markups. The calibrated model explains not only many cyclical features of markups, but also cyclical, long-run and cross-state patterns of standard business cycle aggregates
Nature or nurture? : learning and female labor force dynamics by Alessandra Fogli( Book )
8 editions published in 2007 in English and held by 32 libraries worldwide
Knowing what others know : coordination motives in information acquisition by Christian Hellwig( Book )
5 editions published between 2006 and 2007 in English and held by 18 libraries worldwide
Essays in learning and market dynamics by Laura Veldkamp( Book )
1 edition published in 2001 in English and held by 2 libraries worldwide
Learning asymmetries in real business cycles ( Computer File )
2 editions published between 2002 and 2003 in English and held by 2 libraries worldwide
Slow boom, sudden crash ( Computer File )
2 editions published in 2002 in English and held by 2 libraries worldwide
Learning asymmetries in real business cycles by Stijn van Nieuwerburgh( Book )
1 edition published in 2002 in English and held by 1 library worldwide
Media frenzies in markets for financial information ( Computer File )
1 edition published in 2003 in English and held by 1 library worldwide
Slow boom, big crash by Laura Veldkamp( Book )
1 edition published in 2000 in English and held by 1 library worldwide
Rational Attention Allocation Over the Business Cycle by Marcin Kacperczyk( file )
1 edition published in 2009 in English and held by 1 library worldwide
The literature assessing whether mutual fund managers have skill typically regards skill as an immutable attribute of the manager or the fund. Yet, many measures of skill, such as returns, alphas, and measures of stock-picking and market-timing, appear to vary over the business cycle. Because time-varying ability seems far-fetched, these results call into question the existence of skill itself. This paper offers a rational explanation, arguing that skill is a general cognitive ability that can be applied to different tasks, such as picking stocks or market timing. Using tools from the rational inattention literature, we show that the relative value of these tasks varies cyclically. The model generates indirect predictions for the dispersion and returns of fund portfolios that distinguish this explanation from others and which are supported by the data. In turn, these findings offer useful evidence to support the notion of rational attention allocation
 
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Alternative Names
Veldkamp, L.
Veldkamp, L. L.
Veldkamp, Laura L.
Languages
English (105)
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