Narrow search
Showing 1 - 10 of 1,599
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Financial Markets Where Traders Neglect the Informational Content of Prices
Eyster, Erik - 2018
We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such "cursed" traders generate more trade than those comprising solely rationals. Because rationals arbitrage distortions caused...
Persistent link: https://www.econbiz.de/10012928331