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Misinformation about dividend payouts influences transaction prices in experimental asset markets
Polak, Mateusz; Polczyk, Romuald - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 4, pp. 44-54
exposed to misinformation regarding dividend payouts in a previous game, with the correct dividend matrix also provided. The … (heterogeneously). RESULTS: Homogenous misinformation stating that the last game’s dividend payouts were high, led to larger … treatments. It was also discovered that agents receiving the ‘high dividend’ misinformation had lower returns than non …
Persistent link: https://www.econbiz.de/10012182740
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Asymmetric information, dynamic debt issuance, and the term structure of credit spreads
Benzoni, Luca; Garlappi, Lorenzo; Goldstein, Robert S. - 2019
We propose a tractable model of a firm's dynamic debt and equity issuance policies in the presence of asymmetric information. Because "investment-grade" firms can access debt markets, managers who observe a bad private signal can both conceal this information and shield shareholders from...
Persistent link: https://www.econbiz.de/10012102903
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Introducing a spread into the Kyle model
Salomonsson, Marcus - 2009
The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable...
Persistent link: https://www.econbiz.de/10003814130
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Information Percolation Driving Volatility
Andrei, Daniel - 2012
Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future dividends and trade in centralized markets. Information...
Persistent link: https://www.econbiz.de/10013109066
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Informed Trading and Intertemporal Substitution
Xiao, Yizhou - 2019
I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have...
Persistent link: https://www.econbiz.de/10012902934
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Market Making with Asymmetric Information and Inventory Risk
Liu, Hong - 2017
Market makers in some financial markets often make offsetting trades and have significant market power. We develop a market making model that captures these market features as well as other important characteristics such as information asymmetry and inventory risk. In contrast to the existing...
Persistent link: https://www.econbiz.de/10012976760
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Dynamic Market Making with Asymmetric Information and Market Power
Chen, Wen - 2020
We study the dynamics of bid-ask spread and trading volume using a multi-period trading model with asymmetric information and oligopolistic market makers. Market makers optimally make offsetting trades in "bid" and "ask" markets by adjusting bid and ask prices/depths to avoid holding...
Persistent link: https://www.econbiz.de/10012851705
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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition
Liu, Hong - 2010
We propose a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities...
Persistent link: https://www.econbiz.de/10013146613
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Multidimensional noise and non-fundamental information diversity
Russ, David - 2020
In this paper, I relax the common assumption of the one-dimensionality of noise made in the standard competitive noisy rational expectations framework. Within an environment characterized by multidimensional noise, I explore the strategic interactions between different traders that are informed...
Persistent link: https://www.econbiz.de/10012392302