Similar Search Results

Angrisani, Marco; Guarino, Antonio; Huck, Steffen; … - CESifo - 2008

We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains...

Persistent link: https://www.econbiz.de/10005406359

Monetary Policy with Diverse Private Expectations

Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - CESifo - 2015

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

Persistent link: https://www.econbiz.de/10011205380

Application of Stochastic Optimal Control to Financial Market Debt Crises

Stein, Jerome L. - CESifo - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10005094473

A Critique of the Literature on the US Financial Debt Crisis

Stein, Jerome L. - CESifo - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10008534053

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - CESifo - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10008572494

Expectations, Liquidity, and Short-term Trading

Cespa, Giovanni; Vives, Xavier - CESifo - 2011

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have … a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading … equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …

Persistent link: https://www.econbiz.de/10008872222

Dynamic Trading and Asset Prices: Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - CESifo - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10008583648

Rational Information Choice in Financial Market Equilibrium

Muendler, Marc-Andreas - CESifo - 2005

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...

Persistent link: https://www.econbiz.de/10005405923

The Existence of Informationally Efficient Markets When Individuals Are Rational

Muendler, Marc-Andreas - CESifo - 2004

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...

Persistent link: https://www.econbiz.de/10005406399

Reputational Herding in Financial Markets: A Laboratory Experiment

Roider, Andreas; Voskort, Andrea - CESifo - 2015

We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008), career concerns are introduced in a sequential asset market, where wages for investors are set by subjects in the role of employers. Employers can observe investment...

Persistent link: https://www.econbiz.de/10011122679

1
2
3
4
5
6
7
8
9
Next
Last