This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future … dividends and trade in centralized markets. Information is processed, transmitted, and aggregated in two ways: (i) agents meet … randomly and exchange information through word-of-mouth communication, and (ii) the price aggregates information through the …

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …

evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …