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Strategic Trading in Informationally Complex Environments

Lambert, Nicolas S. - 2014

competitive market makers, and the demand from liquidity traders. We show that there always exists a unique linear equilibrium … informational efficiency of prices as the number of strategic traders becomes large. If liquidity demand is positively correlated … demand is negatively correlated with the asset value, then prices in large markets aggregate all information except that …

Persistent link: https://www.econbiz.de/10012458151

Are Supply Networks Efficiently Resilient?

Capponi, Agostino; Du, Chuan; Stiglitz, Joseph E. - National Bureau of Economic Research - 2024

production capacity to hedge against supply and demand shocks. But the social benefits of such investments are not internalized …

Persistent link: https://www.econbiz.de/10014512075

Estimation Risk, Market Efficiency, and the Predictability of Returns

Lewellen, Jonathan - 2000

In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process. We show that with estimation risk the observable properties of prices and returns can differ significantly from the properties perceived by rational investors. In particular,...

Persistent link: https://www.econbiz.de/10012471062

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Monetary Policy

Abel, Andrew B. - 1981

This paper analyzes an important class of models in which expectations play an important role. Topics included in the analysis are tests of: (1) rationality of forecasts in either market or survey data, (2) capital market efficiency, (3) the short-run neutrality of monetary policy and, (4)...

Persistent link: https://www.econbiz.de/10012478389

Efficiency of Foreign Exchange Markets and Measures of Turbulence

Frenkel, Jacob A. - 1980

, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange …-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are …

Persistent link: https://www.econbiz.de/10012478661

On Forecasting Interest Rates : An Efficient Markets Perspective

Pesando, James E. - 1979

This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in an efficient market. The paper emphasizes that efficient markets do not preclude economic agents from successfully forecasting movements in short-term interest rates. For brief...

Persistent link: https://www.econbiz.de/10012478737

Information Acquisition, Efficiency, and Non-Fundamental Volatility

Hébert, Benjamin M. - 2020

This paper analyzes non-fundamental volatility and efficiency in a class of large games (including e.g. linear-quadratic beauty contests) that feature strategic interaction and endogenous information acquisition. We adopt the rational inattention approach to information acquisition but...

Persistent link: https://www.econbiz.de/10012479295

Enforcement Problems and Secondary Markets

Broner, Fernando A. - 2007

There is a large and growing literature that studies the effects of weak enforcement institutions on economic performance. This literature has focused almost exclusively on primary markets, in which assets are issued and traded to improve the allocation of investment and consumption. The general...

Persistent link: https://www.econbiz.de/10012465088

What Have We Learned From Market Design?

Roth, Alvin E. - 2007

This essay discusses some things we have learned about markets, in the process of designing marketplaces to fix market failures. To work well, marketplaces have to provide thickness, i.e. they need to attract a large enough proportion of the potential participants in the market; they have to...

Persistent link: https://www.econbiz.de/10012465116

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