| Description |
1 online resource (xv, 244 pages) : illustrations |
| Contents |
List of figures; Preface; 1. Information, Equilibrium, and Efficiency Concepts; 1.1. Modeling Information; 1.2. Rational Expectations Equilibrium and Bayesian Nash Equilibrium; 1.2.1. Rational Expectations Equilibrium; 1.2.2. Bayesian Nash Equilibrium; 1.3. Allocative and Informational Efficiency; 2. No-Trade Theorems, Competitive Asset Pricing, Bubbles; 2.1. No-Trade Theorems; 2.2. Competitive Asset Prices and Market Completeness; 2.2.1. Static Two-Period Models; 2.2.2. Dynamic Models -- Complete Equitization versus Dynamic Completeness; 2.3 Bubbles |
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2.3.1. Growth Bubbles under Symmetric Information2.3.2. Information Bubbles; 3. Classification of Market Microstructure Models; 3.1. Simultaneous Demand Schedule Models; 3.1.1. Competitive REE; 3.1.2. Strategic Share Auctions; 3.2. Sequential Move Models; 3.2.1. Screening Models ̀a la Glosten; 3.2.2. Sequential Trade Models ̀a la Glosten and Milgrom; 3.2.3. Kyle-Models and Signaling Models; 4. Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume; 4.1. Technical Analysis -- Inferring Information from Past Prices; 4.1.1. Technical Analysis -- Evaluating New Information |
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4.1.2. Technical Analysis about Fundamental Value4.2. Serial Correlation Induced by Learning and the Infinite Regress Problem; 4.3. Competitive Multiperiod Models; 4.4. Inferring Information from Trading Volume in a Competitive Market Order Model; 4.5. Strategic Multiperiod Market Order Models with a Market Maker; 5. Herding and Informational Cascades; 5.1. Herding due to Payoff Externalities; 5.2. Herding due to Information Externalities; 5.2.1. Exogenous Sequencing; 5.2.2. Endogenous Sequencing, Real Options, and Strategic Delay |
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5.3. Reputational Herding and Anti-herding in Reputational Principal-Agent Models5.3.1. Exogenous Sequencing; 5.3.2. Endogenous Sequencing; 6. Herding in Finance, Stock Market Crashes, Frenzies, and Bank Runs; 6.1. Stock Market Crashes; 6.1.1. Crashes in Competitive REE Models; 6.1.2. Crashes in Sequential Trade Models; 6.1.3. Crashes and Frenzies in Auctions and War of Attrition Games; 6.2. Keynes' Beauty Contest, Investigative Herding, and Limits of Arbitrage; 6.2.1. Unwinding due to Short Horizons; 6.2.2. Unwinding due to Risk Aversion in Incomplete Markets Settings |
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6.2.3. Unwinding due to Principal-Agent Problems6.3. Firms' Short-Termism; 6.4. Bank Runs and Financial Crisis; References; Index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Z |
| Summary |
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing major models |
| Bibliography |
Includes bibliographical references (pages 221-232) and index |
| Notes |
Print version record |
| Subject |
Stocks -- Prices.
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Capital assets pricing model.
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Information theory in economics.
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BUSINESS & ECONOMICS -- Investments & Securities -- Stocks.
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Capital assets pricing model
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Information theory in economics
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Stocks -- Prices
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Capital budgetting.
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Waardering.
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Aandelen.
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Financiële informatiesystemen.
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Effectenhandel.
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| Form |
Electronic book
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| ISBN |
9780191522819 |
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0191522813 |
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9780191596025 |
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0191596027 |
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