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Quid pro quo : friendly information exchange between rivals

Blume, Andreas; Park, In-Uck - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 3, pp. 1183-1223

We show that information exchange via disclosure is possible in equilibrium even when it is certain that whenever one party learns the truth, the other loses. The incentive to disclose results either from an expectation of disclosure being reciprocated - the quid pro quo motive - or from the...

Persistent link: https://www.econbiz.de/10013327121

Macro-financial volatility under dispersed information

Miao, Jianjun; Wu, Jieran; Young, Eric R. - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 275-315

We provide a production-based asset pricing model with dispersed information and small deviations from full rational expectations. In the model, aggregate output and equity prices depend on the higher-order beliefs about aggregate demand and individual stochastic discount factors. We prove that...

Persistent link: https://www.econbiz.de/10012415651

Multistage information transmission with voluntary monetary transfers

Sadakane, Hitoshi - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 1, pp. 267-301

We analyze a cheap-talk model in which an informed sender and an uninformed receiver engage in a finite-period communication before the receiver chooses a project. During the communication phase, the sender sends a message in each period, and the receiver then voluntarily pays money for the...

Persistent link: https://www.econbiz.de/10014245419

Information transmission in persuasion models with imperfect verification

Silva, Francisco - In: Theoretical economics : TE ; an open access journal in … 19 (2024) 3, pp. 1001-1026

I study a persuasion game between a privately informed agent and a decision maker (DM) who can imperfectly verify the statements made by the agent by observing a signal that is correlated with the agent's information. I find that whether or not the DM benefits from communicating with the agent...

Persistent link: https://www.econbiz.de/10014635265

Can individual investors identify economic links? : evidence from initial quarterly earnings announcements within industries

Luo, Yilin; Hong, Jianqiao; Ni, Chenkai; Wang, Guochen - In: China journal of accounting studies 8 (2020) 1, pp. 121-153

We examine whether individual investors in China have the ability to acquire and process the information of industry peers. We exploit the initial earnings announcement within each industry-quarter during 2015-2017 and use the frequency of investors’ daily discussions on the Xue Qiu platform...

Persistent link: https://www.econbiz.de/10012654068

Predicting abnormal trading behavior from internet rumor propagation : a machine learning approach

Cheng, Li-Chen; Lu, Wei-Ting; Yeo, Benjamin - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

In 2021, the abnormal short-term price fluctuations of GameStop, which were triggered by internet stock discussions, drew the attention of academics, financial analysts, and stock trading commissions alike, prompting calls to address such events and maintain market stability. However, the impact...

Persistent link: https://www.econbiz.de/10014288898

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

captured, the model is arbitrage free, and market informational efficiency is preserved. Simulation shows that in such a market …

Persistent link: https://www.econbiz.de/10013555665

Behavioral finance research in 2020 : cui bono et quo vadis?

Fischer, Katharina; Lehner, Othmar M. - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 54-76

. Furthermore, implications on the limits to arbitrage in connection with some financial anomalies complete the holistic picture. …

Persistent link: https://www.econbiz.de/10012489314

The role of centralization index in identifying momentum stage of stocks : empirical evidence from investor networks

Liu, Wen-Rang - In: Cogent economics & finance 12 (2024) 1, pp. 1-25

investor attention variables. The impact of arbitrage frictions on momentum profits across different holding periods was also … examined, with early stage strategies proving profitable for stocks facing severe arbitrage constraints. Moreover, this study … importance of information diffusion patterns, arbitrage constraints, and investor sentiment in driving momentum profits. By …

Persistent link: https://www.econbiz.de/10015375824

The role of arbitrage risk in the MAX effect : evidence from the Korean stock market

Goh, Jihoon; Kim, Donghoon - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 159-180

investors' demand for the lottery and the arbitrage risk effect of MAX may overlap and negate each other. Furthermore, MAX …

Persistent link: https://www.econbiz.de/10015055029