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Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10003897551

Limit-Order Submission Strategies under Asymmetric Information

Menkhoff, Lukas; Osler, Carol; Schmeling, Maik - 2010

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...

Persistent link: https://www.econbiz.de/10003969203

Higher order expectations, illiquidity, and short-term trading

Cespa, Giovanni; Vives, Xavier - 2011

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on …

Persistent link: https://www.econbiz.de/10009011130

On the incidence of a financial transactions tax in a model with fire sales

Bierbrauer, Felix - 2012

This paper studies the impact of a financial transactions tax on a financial market where financial institutions trade with each other. Assets are marked to the market and financial institutions with negative equity are forced out of business. There are two main results: First, if all banks have...

Persistent link: https://www.econbiz.de/10009571254

Competitive rational expectations equilibria without apology

Kovalenkov, Alexander (contributor); … - 2008

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

Persistent link: https://www.econbiz.de/10003790559

Exchange rates dynamics in a target zone : a heterogeneous expectations approach

Bauer, Christian (contributor); De Grauwe, Paul (contributor) - 2007

Persistent link: https://www.econbiz.de/10003598631

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...

Persistent link: https://www.econbiz.de/10011392621

Carbon Leakage and capacity-based allocations : is the EU right?

Meunier, Guy; Ponssard, Jean-Pierre; Quirion, Philippe - 2012

based allocation (Australia, California, New Zealand) and capacity based allocation (EU). This paper characterizes the best …

Persistent link: https://www.econbiz.de/10009687241

Optimal taxation and the household

Apps, Patricia; Rees, Ray - 2016

This paper analyses optimal piecewise linear tax systems for two-earner households, based on joint and individual incomes respectively. It models the interaction between wage rates and variation in child care prices and productivities as determinants of across-household heterogeneity in second...

Persistent link: https://www.econbiz.de/10011451043

Health adjusted GDP (HAGDP) measures of the relationship between economic growth, health outcomes and social welfare

Clarke, Matthew; Islam, Sardar M. N. - 2003

they can fail to adequately consider social welfare issues, such as equity and efficiency. Social choice theory allows … growth on social welfare. Social choice theory incorporates the various social concerns that are not adequately captured … (costs and benefits) using Thailand and Australia as case studies, from 1975 to 1999. Two health adjusted gross domestic …

Persistent link: https://www.econbiz.de/10011509333