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Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files

Aulerich, Nicole M.; Irwin, Scott H.; Garcia, Philip - National Bureau of Economic Research (NBER) - 2013

The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures...

Persistent link: https://www.econbiz.de/10010969324

Misspecified Recovery

Hansen, Lars Peter; Scheinkman, Jose; Borovička, Jaroslav - National Bureau of Economic Research (NBER) - 2014

Asset prices contain information about the probability distribution of future states and the stochastic discounting of these states. Without additional assumptions, probabilities and stochastic discounting cannot be separately identified. Ross (2013) introduced a set of assumptions that restrict...

Persistent link: https://www.econbiz.de/10010969325

Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2014

We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)

Persistent link: https://www.econbiz.de/10010890111

Strategic Trading in Informationally Complex Environments

Ostrovsky, Michael; Lambert, Nicolas S.; Panov, Mikhail - National Bureau of Economic Research (NBER) - 2014

We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...

Persistent link: https://www.econbiz.de/10010951327

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

Laibson, David; Fuster, Andreas; Hebert, Benjamin - National Bureau of Economic Research (NBER) - 2011

How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious models that they fit to the available data? A...

Persistent link: https://www.econbiz.de/10009251530

Decentralized Trading with Private Information

Golosov, Mikhail; Lorenzoni, Guido; Tsyvinski, Aleh - National Bureau of Economic Research (NBER) - 2009

The paper studies asset pricing in informationally decentralized markets. These markets have two key frictions: trading is decentralized (bilateral), and some agents have private information. We analyze how uninformed agents acquire information over time from their bilateral trades. In...

Persistent link: https://www.econbiz.de/10008627116

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - National Bureau of Economic Research (NBER) - 2012

general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price … impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate … 'stochastic bridge' process, which displays stochastic volatility. This is because insiders choose to optimally wait to trade more …

Persistent link: https://www.econbiz.de/10010581038

Salience and Asset Prices

Shleifer, Andrei; Bordalo, Pedro; Gennaioli, Nicola - National Bureau of Economic Research (NBER) - 2013

We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way,...

Persistent link: https://www.econbiz.de/10010821696

A Welfare Criterion for Models with Distorted Beliefs

Brunnermeier, Markus K.; Xiong, Wei; Simsek, Alp - National Bureau of Economic Research (NBER) - 2014

This paper proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our criterion asserts that an allocation is belief-neutral efficient (inefficient) if it is efficient (inefficient) under any convex...

Persistent link: https://www.econbiz.de/10011079882

Trading Complex Assets

Carlin, Bruce I.; Kogan, Shimon - National Bureau of Economic Research (NBER) - 2010

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …

Persistent link: https://www.econbiz.de/10008628357

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