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Reputational Herding in Financial Markets : A Laboratory Experiment
Roider, Andreas - 2015
We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008 …
Persistent link: https://www.econbiz.de/10013029493
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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas - 2013
This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...
Persistent link: https://www.econbiz.de/10013094725
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Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity
Manzano Tovar, Carolina; Vives, Xavier - 2021
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10013316183
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Excessive Herding in the Laboratory : The Role of Intuitive Judgments
March, Christoph - 2018
actions that contradict their high quality signals they herd more extensively than predicted by Bayes-rational herding …-Bayesian updating and informational misinferences are the two channels that drive excessive herding, while the strong (resp. mild … observational learning accounts for the phenomenon of excessive herding, it captures well herd behavior with medium quality signals …
Persistent link: https://www.econbiz.de/10012924978
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Asset Auctions, Information, and Liquidity
Vives, Xavier - 2021
A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...
Persistent link: https://www.econbiz.de/10013316270
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The Impact of Creditor Protection on Stock Prices in the Presence of Liquidity Crises : Theory and Cross-Country Evidence
Hale, Galina - 2013
We develop a model predicting two channels through which creditor protection enhances the performance of stock prices: the probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of creditors; the stock prices under the...
Persistent link: https://www.econbiz.de/10013091211
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Illiquidity and Under-Valuation of Firms
Gale, Douglas M. - 2012
We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...
Persistent link: https://www.econbiz.de/10013116475
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Rumors and Runs in Opaque Markets : Evidence from Panic of 1907
Fohlin, Caroline - 2016
Using a new daily dataset for all stocks traded on the New York Stock Exchange between 1905 and 1910, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the market...
Persistent link: https://www.econbiz.de/10012981593
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Information Asymmetry, Education Signals and the Case of Ethnic and Native Germans
Hornig, Stephan O.; Rottmann, Horst; Wapler, Rüdiger - 2021
This paper analyses the effects of education signals for Ethnic Germans and Germans without a migration background ('Native Germans'). We base our analysis on a sorting model with productivity enhancing effects of education. We compare whether the signalling value differs between the migrants...
Persistent link: https://www.econbiz.de/10013316355
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How Much Do Means-Tested Benefits Reduce the Demand for Annuities?
Butler, Monika - 2011
We analyze the effect of means-tested benefits on annuitization decisions. Most industrialized countries provide a subsistence level consumption floor in old age, usually in the form of means-tested benefits. The availability of such means-tested payments creates an incentive to cash out...
Persistent link: https://www.econbiz.de/10013123214