Showing 1 - 10 of 27,263
The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the Samp;P500 and our...
Persistent link: https://www.econbiz.de/10012775716
In this paper, the interactions between a large informed trader (IT, for short) and a high-frequency trader (HFT, for short) who can anticipate the former's incoming order are studied in an extended Kyle's model. Equilibria under various specific situations are discussed. We find that, in...
Persistent link: https://www.econbiz.de/10014350908
Why do firms engage in costly, voluntary disclosure of informationwhich is subsumed by a later announcement? We consider a model inwhich the firm's manager can choose to disclose short-term informationwhich becomes redundant later. When disclosure costs are sufficientlylow, the manager discloses...
Persistent link: https://www.econbiz.de/10013405002
Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...
Persistent link: https://www.econbiz.de/10012846330
Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two...
Persistent link: https://www.econbiz.de/10012828061
This paper introduces a theory of market incompleteness based on the information transmission role of prices and its adverse impact on the provision of insurance in financial markets. We analyse a simple security design model in which the number and payoff of securities are endogenous. Agents...
Persistent link: https://www.econbiz.de/10013110179
We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel...
Persistent link: https://www.econbiz.de/10012855102
We examine the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that investors' uncertainty about the extent of manipulation can cause excess movements in stock price relative to fluctuations in output. When faced with...
Persistent link: https://www.econbiz.de/10013122199
The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory setting. The experiments replicate an OTC market similar to the one used in monetary and financial economics (Shi, 1995; Trejos and Wright, 1995; Duffie, Garleanu, and Pedersen, 2005):...
Persistent link: https://www.econbiz.de/10009763984
We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers' gain from becoming informed. When quotes are observable, this effect in turn induces a strategic...
Persistent link: https://www.econbiz.de/10012854920