The central focus of this study is to provide an empirical explanation regarding the efficacy of the managerial expectation formation process as it contributes to the understanding of discounting room rates as a rational strategic phenomenon in the lodging industry. The study assesses the nature of the relationship between discounting hotel room rates and hotel financial performance when considering the non-stationary conditions of a time series data set. The study was rooted in an operational based perspective with regard to the challenges presented by the perishable nature of room night sales - the loss of which may impact a manager’s fundamental responsibility: to generate maximum revenue from the existing hotel room capacity. Of critical importance to this study is whether the incremental use of discounting room rates could work to correct for temporal periods of decreased demand and thus increase shortterm hotel financial performance. There is limited research regarding the empirical relationship between discounting room rates and hotel financial performance, as well as the internal process that a hotel manager uses to determine an accurate room rate that corresponds to seasonal lodging market demand conditions. An empirical foundation for this practice is lacking in the extant hospitality literature. Literature reveals that, although the lodging industry commonly incorporates discounting as a pricing strategy, recent research implies that high occupancy levels at discounted room rates do not necessarily lead to an increase in hotel financial performance. The contrast then between what is practiced and the recommendations from pricing strategy studies has led to lack of consistent agreement in current lodging literature regarding how discounting of hotel room rates relates to hotel financial performance. This study is at the forefront in its use of the methodological procedures that support a theoretical framework iv capable of providing explanations regarding managers’ internal process of discounting as an effective pricing strategy that could compensate for times of decreased room demand. An econometric case study research design was used in conjunction with a cointegration analysis and an error correction model (none of which are otherwise appropriated as assessment tools in the lodging industry). These applications provide a means to understand the expectation formation process of managers’ room price setting strategies. They also assess the empirical nature of the relationship between the variables by accounting for the erratic variations of room demand over time as induced by random error fluctuations. A non-deterministic system was assumed and supported through the analysis of the stationarity conditions of the time series data set under investigation. The distinguishing characteristics of a dynamic system that are recognized as traits of the lodging industry are further supported by the theoretical framework of the rational expectations theory and the cobweb model. The results of the study are based on secondary financial data sets that were provided by a midscale independently owned leisure hotel in the Orlando, FL market and that is located on Walt Disney World property. The results of this study delineate from the current normative economic recommendation based on descriptive research that claims discounting hotel room rates does not increase hotel financial performance. The current study does not draw an association between the variables from the presupposition of a deterministic marketplace, nor does it recommend to managers to hold a constant average daily rate over time. Based on the findings of the statistical procedures performed and the theoretical framework, the study contends that previous research may have incorrectly modeled room price expectations; elected to use inappropriate statistical tests; and, therefore, may have entertained misleading conclusions regarding the relationship between discounting of hotel room rates and hotel financial performance. v Through use of an error correction model, the major findings of this study imply several concepts: that residuals may be treated as a variable within the study’s model in order to better understand the short run dynamics that may lead to equilibrium correcting room price positions over the long run of time; that discounting room rates works in the short run; and, that managers use a rational price setting strategy to set future room rates. All of the aforementioned concepts fall within accordance of the rational expectations theory. The study concludes that while the constant room rate adjustments observed in the lodging industry may display what appears to be a random structure that deviates from the expected systematic, or stable, financial performance of a hotel over time, the deviations in performance are actually a rhythmic synthesized process of market information from past and current times. Hence, hotel managers appear to be using a backward looking model to forwardly project optimal room rates to match uncertain consumer demand. The empirical assessment employed in this study supports this determination.

We consider the problem of uniting dynamic game theory and the rational expectations hypothesis. In doing so we examine the current trend in macroeconomic literature towards the use of dominant player games and offer an alternative game solution that seems more compatible with the rational expectations hypothesis. Our analysis is undertaken in the context of a simple deterministic macroeconomy. Wage setters are the agents in the economy and are playing a non-cooperative game with the Fed. The game is played with the wage setters selecting a nominal wage based on their expectation of the money supply, and the Fed selecta the money supply based on its expectation of the nominal wage. We find it is incorrect to use the rational expectations hypothesis in conjunction with the assumption that wage setters take the Fed's choices as an exogenous uncontrollable forcing process. We then postulate the use of a Nash equilibrium in which players have rational expectations. This results in an equilibrium that has Stackleberg properties. The nature of the solution is driven by the fact that the wage setter's reaction function is a level maximal set that covers all possible choices of the Fed. One of the largest problems we encountered in applying rational expectations to a dynamic game is the interdependence of the players' expectations. This problem raises two interesting but as yet unresolved questions regarding the expectations structures of agents: whether an endogenous expectations structure will yield rational expectations; and can endogenous expectations be completely modelled. In addition to the questions mentioned above we also show that the time inconsistency problem comes from either misspecifying the constraints on the policy maker or an inconsistency in interpreting those constraints. We also show that the Lucas critique holds in a game setting and how the critique relates to the reaction functions of players. / Ph. D.

A set of forecast survey data is analyzed in this paper for properties consistent with the Rational Expectations Hypothesis. Standard statistical tests for "rational expectations" are employed utilizing consensus forecasts generated by an interest rate newsletter. Four selected variables (Fed Funds rate, M1 rate of growth, rate of change in CPI, and real GNP growth rate) are analyzed over multiple time horizons. Results tend to reject "rational expectations" for most variables and time horizons. Forecasts are more likely to meet "rationality" criteria the shorter the forecast horizon, with the notable exception of forecasts of real GNP growth.

Este trabalho trata das aplicações da Teoria de Controle Ótimo ao problema de otimização da Política Monetária. Esse problema consiste em minimizar uma função que representa o custo da inflação para a sociedade, por meio de manipulações na variável de controle, que é a taxa de juros da economia. Serão considerados dois modelos para a dinâmica macroeconômica: um keynesiano e um novo-keynesiano. O problema de minimização sujeito à dinâmica keynesiana pode ser resolvido por meio dos conceitos tradicionais de controle ótimo, como o LQR e LQG. Por outro lado, o modelo novokeynesiano possui uma dinâmica mais complexa e não-recursiva, impossibilitando a aplicação direta dos métodos de programação estocástica. Assim, o problema de minimização sujeito à essa dinâmica requer métodos mais complexos, como o método do Lagrangiano ou o método do ponto de sela recursivo. É apresentada a solução analítica para o problema de controle ótimo em cada tipo de dinâmica. Em seguida, o problema de estimação de parâmetros é abordado. Métodos como o OLS e o GMM são empregados para estimar os parâmetros do modelo. Também são realizadas simulações para determinar numericamente as políticas de controle ótimo em alguns cenários. Por fim, a política monetária ótima é determinada para o período entre 2008 e 2009 e comparada com a política monetária adotada pelo governo. / This article discusses the applications of the Optimal Control Theory to the Monetary Policy optimization problem. This problem consists in minimizing a function that represents the inflation cost to society, through manipulation on the control variable, which is the interest rate of the economy. It will be considered two models for macroeconomic dynamics: a Keynesian and a new-Keynesian model. The minimization problem subject to Keynesian dynamics can be solved through traditional optimal control tools, such as LQR and LQG. On the other hand, the second model has a more complex and non-recursive dynamic, precluding the direct application of stochastic programming methods. Thus, the minimization problem restricted to this dynamic requires more complex methods, like the Lagrangian or the recursive saddlepoint method. It is presented the analytical solution to the optimal control problem for each type of dynamics. Then, the parameter estimation problem is addressed. Methods such as OLS and GMM are used to estimate the model parameters. Simulations are also carried out to determine numerically the optimal control policies in some scenarios. Finally, the optimal monetary policy is determined for the period between 2008 and 2009 and compared with the monetary policy adopted by the government.

by Chung Kwok-Wai, Li Wai-Man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 40-41). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.2 / Relationship Between Earning Forecasts and Stock Returns --- p.2 / Relationship Between Forecast Error and Stock Returns --- p.3 / Relationship Between Forecast Revision and Stock Returns --- p.5 / Chapter III. --- METHODOLOGY --- p.7 / Sources of Consensus Earning Estimates --- p.7 / The Sampling Criteria --- p.7 / Six Earnings Expectations Variables --- p.9 / Statistical Procedures --- p.11 / Measuring Excess Returns --- p.12 / Rank Correlation Test --- p.14 / Report of Excess Returns --- p.15 / Chapter IV. --- RESULTS --- p.16 / Relationship Between Earning Forecasts and Stock Returns --- p.16 / Relationship Between Actual Growth and Stock Returns --- p.20 / Relationship Between Forecast Error and Stock Returns --- p.22 / Relationship Between Forecast Revision and Stock Returns --- p.27 / Size and Variation of Excess Returns Due to Forecast Errors --- p.28 / Size of Returns by Being More Accurate --- p.30 / Limitations of Our Study --- p.31 / Chapter V. --- CONCLUSION --- p.33 / APPENDIX --- p.35 / BIBLIOGRAPHY --- p.40

by Tsang Wai-Hung. / Thesis sumbitted in: December 1997. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 46-48). / Abstract also in Chinese. / Acknowledgements --- p.ii / Abstract --- p.iii / Table of Contents --- p.v / Chapter / Chapter I. --- Introduction --- p.1 / Chapter II. --- Model and Main Results --- p.8 / Chapter III. --- Proofs --- p.16 / Chapter IV. --- Correlated Equilibrium and Myopic-Consistent Equilibrium --- p.29 / Chapter V. --- Application --- p.33 / Chapter VI. --- Conclusion --- p.36 / Chapter VII. --- Appendix --- p.37 / Reference --- p.46

Various studies of asset markets have shown that traders are capable of learning and transmitting information through prices in many situations. In this paper we replace human traders with intelligent software agents in a series of simulated markets. Using these simple learning agents, we are able to replicate several features of the experiments with human subjects, regarding (1) dissemination of information from informed to uninformed traders, and (2) aggregation of information spread over different traders.

This thesis analyzes the timing issue related to informed trades under two different market frameworks. Firstly, the issue under the competitive market framework is analyzed. In financial market, a widely accepted assumption that competitive informed traders elect to trade immediately upon receiving their private information is now questioned. We propose a competitive rational expectations model to demonstrate that under some situations informed traders tend to trade late on their information because of the fear of adverse effect on prices from their informed trades. This phenomenon from delayed informed trades leads to the following: Price volatility will increase and adjacent price changes may exhibit positive serial correlation. Secondly, we turn to the alternative framework, i.e., a market microstructure framework. A large number of market microstructure models had already investigated the timing issue of informed trades. Most of them found that the competition among informed traders will make the informed traders incline to trade early than late on their information and the market therefore becomes more efficient. We develop a market microstructure model with competitive, risk averse informed traders and uninformed market makers. It is found that when the mass of informed traders is larger or the precision of private information is higher, the market becomes less efficient, that is, prices will delay revealing the private information and the market will postpone becoming liquid. Our results stand in contrast to those of other market microstructure models simply because informed traders in our model choose to trade late on their information. In conclusion, the thesis has proved that the timing to trade on their information is an important consideration for informed traders to determine their trading strategy maximizing their expected utility. Since this issue is seldom discussed in the previous literature, I deeply believe that there are many works to be done followed this work.

In standard models of informed trading, they implicitly assume that all informed traders receive their information at the same time and then trade on their private information immediately, whether competitive or imperfect competitive¡]strategic¡^rational expectations model, differing on the speed of information revelation. In reality, the informed traders may quietly and skillfully perform noninformational trading to accumulate their ¡§line¡¨ cheaply. In this paper, we develop the multiperiod competitive rational expectations model with asymmetric information to show, under some conditions, delaying their informed trades is in the interests of informed traders; then we explore the implications of our model for the behavior of stock price, especially we find that, delaying the informed trades may increase price volatility and display the momentum effect, consistent with the empirical results.

Thesis (Ph. D.)--University of California, San Diego, 2009. / Title from first page of PDF file (viewed November 17, 2009). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references.