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Displaying results 1 to 10 of 10.

  1. Costly interpretation of asset prices
    Author: Vives, Xavier; Yang, Liyan
    Published: 10 October 2017
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (12360)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; DP 12360
    Subjects: Kapitalmarkttheorie; Informationsverhalten; Begrenzte Rationalität; Handelsvolumen der Börse; Noise Trading; Wohlfahrtsanalyse; Theorie
    Scope: 68 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  2. Dynamic trading and asset prices
    Keynes vs. Hayek
    Author: Cespa, Giovanni; Vives, Xavier
    Published: 2009
    Publisher:  CESifo, München

    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... more

    Location:
    Staats- und Universitätsbibliothek Bremen
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    No inter-library loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63 (2839)
    Inter-library loan:
    No inter-library loan

     

    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 information with respect to optimal statistical weights. Both phenomena, in turn, occur whenever traders speculate on short-run price movements. For a given, positive level of residual payoff uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesianʺ region; the complementary region is Hayekianʺ in that prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which traders abide by Keynes' dictum of concentrating on an asset long term prospects and those only.ʺ The analysis explains accommodation and trend chasing strategies as well as momentum and reversal. -- efficient market hypothesis ; long and short-term trading ; average expectations ; higher order beliefs ; over-reliance on public information ; opaqueness ; momentum ; reversal

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/30693
    Series: Array ; 2839
    Subjects: Börsenkurs; Kapitalmarkttheorie; Effizienzmarkthypothese; Noise Trading; Wertpapierhandel; Informationsverhalten; Erwartungsbildung; Theorie
    Scope: Online-Ressource ( 46 S.), graph. Darst.
    Notes:

    Parallel als Druckausg. erschienen
  3. Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
    Author: Manzano Tovar, Carolina; Vives, Xavier
    Published: 2010
    Publisher:  CESifo, München

    We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for... more

    Location:
    Staats- und Universitätsbibliothek Bremen
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    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63 (3137)
    Inter-library loan:
    No inter-library loan

     

    We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of equilibria. We find that a main driver of the characterization of equilibria is whether the actions of investors are strategic substitutes or complements. This latter property in turn is driven by the strength of a private learning channel from prices, arising from the multidimensional sources of asymmetric information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to the public we have strong (weak) strategic complementarity in actions and potentially multiple (unique) equilibria. The results enable a precise characterization of whether information acquisition decisions are strategic substitutes or complements. We find that the strategic substitutability in information acquisition result obtained in Grossman and Stiglitz (1980) is robust. -- rational expectations equilibrium ; strategic complementarity ; multiplicity of equilibria ; asymmetric information ; risk exposure ; bedging ; supply information

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/39052
    Series: Array ; 3137
    Subjects: Effizienzmarkthypothese; Anlageverhalten; Rationale Erwartung; Gleichgewichtsmodell; Informationsverhalten; Lernprozess; Asymmetrische Information; Spieltheorie; Theorie
    Scope: Online-Ressource (42 S.), graph. Darst.
    Notes:

    Parallel als Druckausg. erschienen
  4. Dynamic trading and asset prices
    Keynes vs. Hayek
    Author: Cespa, Giovanni; Vives, Xavier
    Published: 2009
    Publisher:  Univ., Center for Economic Studies, Munich

    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... more

    Location:
    Staats- und Universitätsbibliothek Bremen
    Signature:
    02.F.2882
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Signature:
    1 : Z 104.53:2839
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    Unlimited inter-library loan, copies and loan

    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    S32-2839 a
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    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    S32-2839 b
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    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    S32-2839 c
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    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 information with respect to optimal statistical weights. Both phenomena, in turn, occur whenever traders speculate on short-run price movements. For a given, positive level of residual payoff uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesianʺ region; the complementary region is Hayekianʺ in that prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which traders abide by Keynes' dictum of concentrating on an asset long term prospects and those only.ʺ The analysis explains accommodation and trend chasing strategies as well as momentum and reversal.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 2839
    Subjects: Börsenkurs; Kapitalmarkttheorie; Effizienzmarkthypothese; Noise Trading; Wertpapierhandel; Informationsverhalten; Erwartungsbildung; Theorie
    Scope: 46 S., graph. Darst.
    Notes:

    Literaturverz. S.32-34
  5. Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
    Author: Manzano, Carolina; Vives, Xavier
    Published: 2010
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (7949)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 7949
    Subjects: Effizienzmarkthypothese; Anlageverhalten; Rationale Erwartung; Gleichgewichtsmodell; Informationsverhalten; Lernprozess; Asymmetrische Information; Spieltheorie; Theorie
    Scope: 42 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  6. Dynamic trading and asset prices
    Keynes vs. Hayek
    Author: Cespa, Giovanni; Vives, Xavier
    Published: 2009
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (7506)
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 7506
    Subjects: Börsenkurs; Kapitalmarkttheorie; Effizienzmarkthypothese; Noise Trading; Wertpapierhandel; Informationsverhalten; Erwartungsbildung; Theorie
    Scope: 46 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  7. Higher order expectations, illiquidity, and short-term trading
    Author: Cespa, Giovanni; Vives, Xavier
    Published: 2011
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (8303)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 8303
    Subjects: Kapitaleinkommen; Erwartungsbildung; Wertpapierhandel; Informationsverhalten; Marktliquidität; Börsenkurs; Theorie
    Scope: 43 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  8. Higher order expectations, illiquidity, and short-term trading
    Author: Cespa, Giovanni; Vives, Xavier
    Published: 2011
    Publisher:  CESifo, München

    We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order... more

    Location:
    Staats- und Universitätsbibliothek Bremen
    Inter-library loan:
    No inter-library loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63 (3390)
    Inter-library loan:
    No inter-library loan

     

    We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity trades. We show that it is precisely when asset prices are driven by investors' HOEs about fundamentals that they over-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state, and the volume of informational trading is high. Over-reliance on public information results from investors' under-reaction to their private signals which, in turn, dampens uncertainty reduction over liquidation prices, favoring an increase in price risk and illiquidity. Therefore, a highly illiquid market implies higher expected returns from contrarian strategies. Equivalently, illiquidity arises as a byproduct of the lack of participation of informed investors in their capacity of liquidity suppliers, a feature that appears to capture some aspects of the recent crisis. -- expected returns ; multiple equilibria ; average expectations ; over-reliance on public information ; Beauty Contest

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/46346
    Series: Array ; 3390
    Subjects: Kapitaleinkommen; Erwartungsbildung; Wertpapierhandel; Informationsverhalten; Marktliquidität; Börsenkurs; Theorie
    Scope: Online-Ressource (PDF-Datei: 43 S., 586 KB), graph. Darst.
    Notes:

    Parallel als Druckausg. erschienen
  9. Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
    Author: Manzano Tovar, Carolina; Vives, Xavier
    Published: 2010
    Publisher:  IESE Business School, Barcelona

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / IESE Business School, University of Navarra ; 874
    Subjects: Effizienzmarkthypothese; Anlageverhalten; Rationale Erwartung; Gleichgewichtsmodell; Informationsverhalten; Lernprozess; Asymmetrische Information; Spieltheorie; Theorie
    Scope: Online-Ressource (PDF-Datei: 44 S., 385 KB)
  10. Social learning and costly information acquisition
    Author: Burguet, Roberto; Vives, Xavier
    Published: 1996

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    B 284501
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; Institut d'Anàlisi Econòmica, CSIC
    Subjects: Informationsökonomik; Informationsverhalten; Lernprozess; Theorie
    Scope: 35, [6] S. : graph. Darst