Behavioral heterogeneity and financial markets: Locked/crossed quotes under informationally efficient pricing
نویسندگان
چکیده
منابع مشابه
On the Impossibility of Informationally Efficient Markets
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متن کاملThe possibility of informationally efficient markets
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price—contrary to a wide-held conjecture. Whereas a continuum of investors is inconsistent with fully revealing equilibrium, finitely many investors with average portfolios demand information in equilibrium if they can adjust portfolio size in an additive-signal return model...
متن کاملOn the Possibility of Informationally Efficient Markets
This paper presents conditions for a resolution of the Grossman-Stiglitz paradox of informationally ef cient markets. We display a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved as long as the correlation in traders’ valuations is not too large. The equilibrium is ef cient, a...
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This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heter...
متن کاملThe Existence of Informationally Efficient Markets When Individuals Are Rational∗
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 functions, this paper shows that individual investors endowed with an average portfolio demand information i...
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ژورنال
عنوان ژورنال: Cogent Economics & Finance
سال: 2017
ISSN: 2332-2039
DOI: 10.1080/23322039.2017.1384524