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Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
Shachat, Jason; Srinivasan, Anand - 2013
We report on experimental markets for a contingent claim asset that eight subjects traded for nine periods before the state was revealed. There is an informative binary signal that arrives after each of the first eight trading rounds. In our baseline treatment the realization of the signal is...
Persistent link: https://www.econbiz.de/10010892127
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Frictional asset reallocation under adverse selection
Madison, Florian - 2018
The aim of this paper is to study asset reallocation in financial markets subject to search, bargaining, and information frictions, and to analyze the impact of monetary policy on equilibrium outcomes. The main results show that private information regarding the quality of an asset impairs its...
Persistent link: https://www.econbiz.de/10011969185
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Limelight on dark markets: An experimental study of liquidity and information
Berentsen, Aleksander; McBride, Michael; Rocheteau, … - 2013
The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...
Persistent link: https://www.econbiz.de/10010316877
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Asymmetric information in frictional markets for liquidity: On the non-equivalence of credit and sale
Madison, Florian - 2016
In the aftermath of the global financial crisis, the market for unsecured credit literally dried out and collateral secured debt became the most widely used concept to coinsure against liquidity shocks. However, since financial assets are usually unproductive, the question comes up why...
Persistent link: https://www.econbiz.de/10011663179
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Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection
Caramp, Nicolas - 2021
What sows the seeds of financial crises, and what policies can help avoid them? I model the interaction between the ex-ante production of assets and ex-post adverse selection in financial markets. Positive shocks that increase market prices exacerbate the production of low-quality assets and can...
Persistent link: https://www.econbiz.de/10012655889
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …
Persistent link: https://www.econbiz.de/10009305103
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An Equilibrium Model of Credit Rating Agencies
Holden, Steinar; Natvik, Gisle James; Vigier, Adrien - 2012
liquidity boom CRAs help resolve investors' coordination problem, and lower the probability of default; in a liquidity crunch …
Persistent link: https://www.econbiz.de/10012143811
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On the equivalence between Bayesian and dominant strategy implementation: The case of correlated types
Kushnir, Alexey - 2013
We consider general social choice environments with private values and correlated types. Each agent's matrix of conditional probabilities satisfies the full rank condition. We show that for any Bayesian incentive compatible mechanism there exists a dominant strategy incentive compatible...
Persistent link: https://www.econbiz.de/10010332042
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Cheap Talk with Correlated Signals
Chand, A.K.S.; Currarini, Sergio; Ursino, Giovanni - 2015
one sender case, we show that correlation unambiguously tightens the existence conditions for a truth-telling equilibrium …. We then generalize the model to an arbitrary number of senders, and we find that, in this case, the effect of correlation … on the incentives to report information truthfully is non monotone, and correlation may discipline senders equilibrium …
Persistent link: https://www.econbiz.de/10011739598
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Tests of ex ante versus ex post theories of collateral using private and public information
Berger, Allen N.; Frame, W. Scott; Ioannidou, Vasso - 2010
Collateral is a widely used, but not well understood, debt-contracting feature. Two broad strands of theoretical literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems between borrowers and lenders. However, the extant...
Persistent link: https://www.econbiz.de/10010292349