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Beauty Contests Under Private Information and Diverse Beliefs : How Different?
Kurz, Mordecai - 2007
is used to test hypotheses of HB. We show the common knowledge assumptions of the PI theory are implausible. The theories … differ on four main analytical issues. (1) The pricing theory under PI implies prices have infinite memory and at each t … rationality conditions impose restrictions on any HB theory. We explain the tight restrictions on the model's parameters imposed …
Persistent link: https://www.econbiz.de/10012775716
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Testing the CAPM Under Asymmetric Information
Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022
If investors are differently informed about the payoff of market-traded securities, then the traditional market portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal portfolio conditionally on his information. Which proxy to...
Persistent link: https://www.econbiz.de/10013292834
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Beauty Contests and Asset Prices under Asymmetric Information
Ishikawa, Ryuichiro - 2010
In this paper, we study a dynamic Gaussian financial market model in which the traders form higher-order expectations about the fundamental value of a single risky asset. Rational uninformed traders are introduced into an otherwise standard differential information economy to investigate the...
Persistent link: https://www.econbiz.de/10013148628
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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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Financial Literacy, Information Acquisition and Asset Pricing Implications
Pettinicchi, Yuri - 2012
In this paper I study the information acquisition process in a simple asset pricing model with heterogeneous beliefs about future prices. This is instrumental to investigate the effects of financial literacy on market volatility. I posit that financial literacy affects the cost of acquiring...
Persistent link: https://www.econbiz.de/10013105591
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Property Rights Protection, Information Acquisition, and Asset Prices : Theory and Evidence
Albagli, Elias - 2013
We study return comovement and relative pricing of two classes of shares with identical voting rights and cash-flow rights but for different investor clienteles: A-shares for domestic investors and B-shares for foreign investors. We first document a surprisingly low return comovement between A-...
Persistent link: https://www.econbiz.de/10013091386
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The Effect of Options on Information Acquisition and Asset Pricing
Huang, Shiyang - 2015
results are robust for more general derivatives. These results provide a potentially unified theory to reconcile the …
Persistent link: https://www.econbiz.de/10013014635
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The Effect of Options on Information Acquisition and Asset Pricing
Huang, Shiyang - 2014
potentially unified theory to reconcile the conflicting empirical findings on the options listing of individual stocks in both the …
Persistent link: https://www.econbiz.de/10013046039
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Limited Market Participation and Asset Prices with Earnings Management
Sun, Bo - 2012
We present a model to study the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that limited market participation can arise endogenously in the presence of earnings management. Our model generates novel predictions on how...
Persistent link: https://www.econbiz.de/10013098787
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The Pricing of Composition Uncertainty
Aliyev, Nihad - 2018
The "quant crisis" of 2007 and subsequent unfolding of the global financial crisis highlighted the importance of the "crowded-trade" problem (not being able to know how many others are taking the same position). To investigate the crowded trading, we present a model in which informed and...
Persistent link: https://www.econbiz.de/10012910555