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Beauty Contests and Asset Prices under Asymmetric Information

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タイトル: Beauty Contests and Asset Prices under Asymmetric Information
著者: Ishikawa, Ryuichiro 著作を一覧する
Kudoh, Noritaka 著作を一覧する
キーワード: higher-order expectations
asset prices
asymmetric information
発行日: 2010年 1月24日
出版者: Graduate School of Economics & Business Administration, Hokkaido University
誌名: Discussion Paper, Series A
巻: 218
開始ページ: 1
終了ページ: 30
抄録: In this paper, we study a dynamic Gaussian financial market model in which the traders form higher-order expectations about the fundamental value of a single risky asset. Rational uninformed traders are introduced into an otherwise standard differential information economy to investigate the impact of asymmetric information. In a two-period economy, there is a unique linear equilibrium; beauty contests under asymmetric information do not introduce excess volatility driven by self-fulfilling multiple equilibria. Under certain conditions, there is a nonmonotonic relationship between price volatility and the proportion of uninformed traders.
資料タイプ: bulletin (article)
出現コレクション:Series A

提供者: 工藤 教孝


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