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Unintented consequences of German stock delisting legislation

Olivier Gossner and Michael Florig
CREST WP, 2023

Abstract: The German stock exchange act enables a company’s management to delist the shares without shareholder consent, provided a sponsor of the delisting offers to acquire outstanding shares at a price equal to at least a six month average of the share price. We capture the economic impact of this legislation in a model in which management has the option to delist the stock after public re- lease of information. Delistings are likely to follow positive news on the asset value, which depresses the stock value even before informa- tion is released. This makes the option to delist even more attractive and generates a downwards self-reinforcing loop on stock price. Such unintended consequences of the legislation could be mitigated via mandatory shareholder consent, similar to the current French or UK legislation, by giving minority shareholders an appraisal right as in the US, or by requiring an independent expert evaluation.

Delistings

Double comptabilisation des frais de gestion sous Solvabilité II

Olivier Gossner et Michael Florig
Revue Risques, 2023

Résumé : Nous mettons en évidence une double comptabilisation des frais de gestion des actifs assurantiels dans l’interprétation majoritaire actuelle de la directive Solvabilité II. Cette double comptabilisation conduit à des provisions injustifiées d’un montant total que nous estimons être de l’ordre de 100 milliards d’euros, et à une distorsion de l’investissement de l’épargne qui pénalise considérablement l’investissement productif et de long terme. Nous exposons ici les données du problème, les moyens de le résoudre et l’impact positif significatif qu’une correction entraînerait pour l’investissement productif français et européen.

S-2 frais de gestion

Rationalizable Outcome Distributions: A Markov Characterization

Olivier Gossner and Rafael Veiel
SSRN preprint, 2022

Abstract: We study (interim correlated) rationalizability in a game with in- complete information. We characterize the recursive set of possible rationalizable hierarchies through a finite automaton, and provide a revelation principle that characterizes the distributions over these hi- erarchies that arise from any common prior. We show that a simple and finitely parametrized class of information structures, Stationary Common Automaton Markov Priors (SCAMP), is sufficient to gen- erate every outcome distribution induced by general common prior information structures. Using this result, we characterize the set of rationalizable distributions as a convex polyhedron.

rationalizable

High-sensitivity SARS-CoV-2 group testing by digital PCR among symptomatic patients in hospital settings

A. Martin , A. Storto , Q. Le Hingrat , G. Collin , B. André, A. Mallory , R. Dangla , D. Descamps , B. Visseaux , O. Gossner

Journal of Clinical Virology, 2021

Background: Worldwide demand for SARS-CoV-2 RT-PCR testing is still high as testing remains central to follow the disease spread and vaccine efficacy. Group testing has been proposed as a solution to expand testing capabilities but sensitivity concerns may limit its impact on the management of the pandemic. Digital PCR (RT-dPCR) has been shown to be highly sensitive and could help by providing larger testing capabilities without compromising sensitivity.

Methods: We implemented RT-dPCR based COVID-19 group testing on a commercially available system and assay (naica® system from Stilla Technologies) and investigated the sensitivity of the method in real life conditions of a university hospital in Paris, France, in May 2020. We tested the protocol in a direct comparison with reference RT-PCR testing on 448 samples split into groups of 8, 16 and 32 samples for RT-dPCR analysis.

Results: Individual RT-PCR testing identified 25/448 positive samples. Using 56 groups of 8, RT-dPCR identified 23 groups as positive, corresponding to 26 positive samples by individual PCR (positive percentage agreement 95.2% [95% confidence interval: 76.2-99.9%]) and including 2 samples not detected by individual RT-PCR but confirmed positive by further investigation. 15 of 28 groups of 16 tested positive, corresponding to 25 positive samples by individual PCR (positive percentage agreement 87.5% [95% confidence interval: 61.7-98.4%]). 14 groups of 32 were fully concordant with individual PCR testing but will need to be confirmed on larger datasets.

High-sensititvity

Market equilibrium with management costs and implications for insurance accounting

Olivier Gossner and Michael Florig
CREST Working Paper, 2021

Abstract: We study a general equilibrium model with uncertainty where agents incur costs for managing a risky assets. The equilibrium price, as char- acterized via a (risk neutral) probability measure on the state space is employed for valuation in several regulatory accounting regimes such as Solvency II for the European Economic Area, SST for Switzerland, BSCR for Bermuda and going forward under IFRS17.

We find that the valuation approach used in practice under these ac- counting regimes is missing a correction term by ignoring that not only the insurance business to be valued is incurring investment management costs, but also other insurers, and more generally market participants as well are incurring such costs.

For insurers subject to Solvency II regulation, we estimate the value of the correction term to be of the order of e 150 billion or 2% of insurer’s investments.

management_costs_WP

Attention please!

Olivier Gossner, Jakub Steiner and Colin Stewart

Econometrica, Vol. 89, No. 4 (July, 2021), 1717–1751, 2021

Abstract: We study the impact of manipulating the attention of a decision-maker who learns sequentially about a number of items before making a choice. Under natural assump- tions on the decision-maker’s strategy, directing attention toward one item increases its likelihood of being chosen regardless of its value. This result applies when the decision- maker can reject all items in favor of an outside option with known value; if no outside option is available, the direction of the effect of manipulation depends on the value of the item. A similar result applies to manipulation of choices in bandit problems.

attention-please-ecta

The value of information in zero-sum games

Olivier Gossner and Jean-François Mertens
CREST Working Paper, 2020

Abtract: We study the description and value of information in zero-sum games. We define a series of informational relations between information schemes, and show that informational equivalence classes are captured by canonical information structures. Moreover, two information schemes induce the same value in every game if and only if they are informationally equivalent. We prove the existence of a revealing game in which unique optimal strategies are homeomorphic to canonical types.

ValueofInfo2020

The robustness of incomplete penal codes in repeated interactions

Olivier Gossner
CREST Working Paper, 2020

Abstract: We study the robustness of equilibria with regards to small payoff perturbations of the dynamic game. We find that complete penal codes, that specify players’ strategies after every history, have only limited robustness. For some generic games, no complete codes exist that are robust to even arbitrarily small perturbations. We define incomplete penal codes as partial descriptions of equilibrium strategies and introduce a notion of robustness for incomplete penal codes. We prove a Folk Theorem in robust incomplete codes that generates a Folk Theorem in a class of stochastic games.

robust

Payoffs-beliefs duality and the value of information

Michel de Lara and Olivier Gossner

SIAM Journal on Optimization, 30(1), 464-489, 2020.

Abstract: In decision problems under incomplete information, actions (identified to payoff vectors indexed by states of nature) and beliefs are naturally paired by bilinear duality. We exploit this duality to analyze the value of information, using concepts and tools from convex analysis. We define the value function as the support function of the set of available actions: the subdifferential at a belief is the set of optimal actions at this belief; the set of beliefs at which an action is optimal is the normal cone of the set of available actions at this point. Our main results are 1) a necessary and sufficient condition for positive value of information 2) global estimates of the value of information of any information structure from local properties of the value function and of the set of optimal actions taken at the prior belief only. We apply our results to the marginal value of information at the null, that is, when the agent is close to receiving no information at all, and we provide conditions under which the marginal value of information is infinite, null, or positive and finite.

payoff-beliefs duality

Group testing against Covid-19

Christian Golliier and Olivier Gossner

EconPol Policy Brief, No. 24, ifo Institute – Leibniz Institute for Economic Research, Munich, 2020

Abstract: We show how group testing can be used in three applications to multiply the efficiency of tests: estimation of virus prevalence, releasing group to the work force, and testing for individual infectious status. For an infection level around 2%, group testing could potentially allow to save 94% of tests in the first application, 95% in the second, and 85% in the third one.

GroupTesting