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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...
Persistent link: https://www.econbiz.de/10003897551
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...
Persistent link: https://www.econbiz.de/10010272747
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Market Transparency and Fragility
Cespa, Giovanni - 2019
market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more … liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial … dearth of liquidity degenerating into a liquidity rout (as in a ash crash). In a fully transparent market, liquidity is …
Persistent link: https://www.econbiz.de/10012902334
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Market Transparency and Fragility
Cespa, Giovanni - 2019
market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more … liquidity when the market becomes less liquid, fostering market illiquidity. This can generate instability with an initial … dearth of liquidity degenerating into a liquidity rout (as in a flash crash). In a fully transparent market, liquidity is …
Persistent link: https://www.econbiz.de/10012891994
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni - 2019
liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …
Persistent link: https://www.econbiz.de/10012892152
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni - 2020
technological services. We find that services can be strategic substitutes or complements. Free-entry delivers superior liquidity …
Persistent link: https://www.econbiz.de/10012850407
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Costly Interpretation of Asset Prices
Vives, Xavier - 2018
We propose a model in which investors cannot costlessly process information from asset prices. At the trading stage, investors are boundedly rational and their interpretation of prices injects noise into the price, generating a source of endogenous noise trading. Our setup features price...
Persistent link: https://www.econbiz.de/10012936263
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
Persistent link: https://www.econbiz.de/10003902820
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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - In: The review of economic studies 79 (2012) 2, pp. 539-580
Persistent link: https://www.econbiz.de/10009614020