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Central bank transparency and the crowding out of private information in an experimental asset market
Middeldorp, Menno; Rosenkranz, Stephanie - 2011
Central banks have become increasingly communicative. An important reason is that democratic societies expect more transparency from public institutions. Central bankers, based on empirical research, also believe that sharing information has economic benefits. Communication is seen as a way to...
Persistent link: https://www.econbiz.de/10008936428
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Central Bank Transparency and the Crowding Out of Private Information in an Experimental Asset Market
Middeldorp, Menno H. - 2011
Central banks have become increasingly communicative. An important reason is that democratic societies expect more transparency from public institutions. Central bankers, based on empirical research, also believe that sharing information has economic benefits. Communication is seen as a way to...
Persistent link: https://www.econbiz.de/10013128675
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Does Public Disclosure Crowd Out Private Information Production?
Chen, Jia - 2019
Using a natural experiment of the staggered dissemination of trading information in the corporate bond market, we find that when public disclosure increases, private information production reduces. The reduction in information production is indicated by fewer bond analyst reports, fewer pages in...
Persistent link: https://www.econbiz.de/10012897113
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Learning about Analysts
Rüdiger, Jesper - 2018
We examine an analyst with career concerns making cheap talk recommendations to a sequence of traders, each of whom possesses private information concerning the analyst's ability. The recommendations of the analyst influence asset prices that are then used to evaluate the analyst. An endogeneity...
Persistent link: https://www.econbiz.de/10012938201
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Beauty Contests Under Private Information and Diverse Beliefs : How Different?
Kurz, Mordecai - 2007
is used to test hypotheses of HB. We show the common knowledge assumptions of the PI theory are implausible. The theories … differ on four main analytical issues. (1) The pricing theory under PI implies prices have infinite memory and at each t … rationality conditions impose restrictions on any HB theory. We explain the tight restrictions on the model's parameters imposed …
Persistent link: https://www.econbiz.de/10012775716
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Learning From Prices : Information Aggregation and Accumulation in an Asset Price Model
Berardi, Michele - 2020
Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two...
Persistent link: https://www.econbiz.de/10012828061
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Announcements, Expectations, and Stock Returns with Asymmetric Information
Han, Leyla Jianyu - 2020
Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...
Persistent link: https://www.econbiz.de/10012846330
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On the Voluntary Disclosure of Redundant Information
Banerjee, Snehal; Breon-Drish, Bradyn M.; Kaniel, Ron; … - 2022
Why do firms engage in costly, voluntary disclosure of informationwhich is subsumed by a later announcement? We consider a model inwhich the firm's manager can choose to disclose short-term informationwhich becomes redundant later. When disclosure costs are sufficientlylow, the manager discloses...
Persistent link: https://www.econbiz.de/10013405002
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Market Stability with Machine Learning Agents
Georges, Christophre - 2020
We consider the effect of adaptive model selection and regularization by agents on price volatility and market stability in a simple agent-based model of a financial market. The agents base their trading behavior on forecasts of future returns, which they update adaptively and asynchronously...
Persistent link: https://www.econbiz.de/10012849509
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Crowded trades, market clustering, and price instability
Kralingen, Marc van; Garlaschelli, Diego; Scholtus, Karolina - 2020
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that...
Persistent link: https://www.econbiz.de/10012161041