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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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On Harsanyi Dividends and Asymmetric Values
Dehez, Pierre - 2017
The concept of dividend in transferable utility games was introduced by Harsanyi [1959]. It offers a unifying framework for studying various valuation concepts, from the Shapley value (symmetric as well as weighted) to the different notions of values introduced by Weber [1988]. Using the...
Persistent link: https://www.econbiz.de/10012957393
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The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10011952636
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The impact of heterogeneous signals on stock price predictability in a strategic trade model
Winter, Christoph - 2018
Generalizing the idea that price momentum can be explained by different levels of uncertainty inherent in the information structure, we implement signal-specific differences in uncertainty in a Kyle type model of strategic trading. We derive the equilibrium in a single-auction setting as well as...
Persistent link: https://www.econbiz.de/10011952637
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Price discovery and gains from trade in asset markets with insider trading
Brünner, Tobias; Levínský, René - 2020
efficiency of prices, but this comes at the expense of reduced gains from trade. The model further implies that in the presence … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …
Persistent link: https://www.econbiz.de/10012437539
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Do prices in the unmediated call auction reflect insider information?: an experimental analysis
Brünner, Tobias; Levínský, René - 2008
The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...
Persistent link: https://www.econbiz.de/10010275685
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Price efficiency and trading behavior in limit order markets with competing insiders
Stöckl, Thomas - 2013
We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders … insiders present. We observe that price efficiency (i) is the higher the higher the number of insiders in the market but (ii … number ofinsiders, price efficiency increases gradually over time. (iv) The insiders' information is reflected in prices via …
Persistent link: https://www.econbiz.de/10009744178
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010353591
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014 - This version: September 25, 2014
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010429127
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals : conference paper
Keser, Claudia; Markstädter, Andreas - 2014
, suggesting higher efficiency of markets with asymmetrically informed traders. The provision of BFVs has little to no effect …
Persistent link: https://www.econbiz.de/10010483895