EBOOK Asset Pricing under Asymmetric Information:Bubbles, Crashes, Technical Analysis, and Herding -

EBOOK Asset Pricing under Asymmetric Information:Bubbles, Crashes, Technical Analysis, and Herding
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Wydawnictwo: Oxford University Press
ISBN: 9780191606922
EAN: 6D5786A8EB
Format: 0,0 x 0,0 x 0,0
Oprawa: ...
Stron: 272
Data wydania: 2001
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Asset prices are driven by public news and information that is often dispersed        among many market participants. These agents try to infer each other's information        by analyzing price processes. In the past two decades, theoretical research in        financial economics has significantly advanced our understanding of the        informational aspects of price processes. This book provides a detailed and        up-to-date survey of this important body of literature.The book begins by        demonstrating how to model asymmetric information and higher-order knowledge. It        then contrasts competitive and strategic equilibrium concepts under asymmetric        information. It also illustrates the dependence of information efficiency and        allocative efficiency on the security structure and the linkage between both        efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric        information are then explained, and the existence of bubbles under symmetric        andasymmetric information is investigated.The remainder of the survey is devoted to        contrasting different market microstructure models that demonstrate how asymmetric        information affects asset prices and traders' information , which provide a        theoretical explanation for technical analysis and illustrate why some investors        "e;chase the trend."e; The reader is then introduced to herding models and informational        cascades, which can arise in a setting where agents' decision-making is sequential.          The insights derived from herding models areused to provide rational explanations        for stock market crashes. Models in which all traders are induced to search for the        same piece of information are then presented to provide a deeper insight into        Keynes' comparison of the stock market with a beauty contest. The book concludes        with a brief summary ofbank runs and their connection to financial crises.

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