Download or read book Endogenous Market Power and Asset Pricing in Thin Financial Markets written by Marek Weretka and published by . This book was released on 2006 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and published by Oxford University Press, USA. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

Download or read book Asset Pricing Under Endogenous Expectations in an Artificial Stock Market written by and published by . This book was released on 1996 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Power and Price Informativeness written by Marcin T. Kacperczyk and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The asset ownership structure in financial markets worldwide is dominated by large institutional investors. Relative to households, institutional investors own a larger fraction of assets, have a more concentrated distribution of ownership, and have significant active and passive components. We study the implications of these facts for the informational content of prices using a general equilibrium portfolio-choice model with market power and endogenous information acquisition. We decompose the effects of a changing market structure into three channels: (i) a size channel, (ii) a concentration channel, and (iii) an information passthrough channel, which we show is the quantitatively largest of the three. We find that price informativeness is non-monotonic in institutional sector's size, monotonically decreasing in institutional sector's concentration, and monotonically decreasing in the size of the passive sector both due to quantity effect and an amplifying learning effect.

Download or read book Asset Pricing Under Endogenous Expectations in an Artificial Stock Market written by and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Margin Requirements Endogenous Illiquidity and Portfolio Choice written by Yajun Wang and published by . This book was released on 2011 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays. The first essay studies the effects of margin requirements. The second essay studies how asymmetric information and imperfect competition affect equilibrium illiquidity. The third essay derives new comparative statics results for the distribution of portfolio payoffs. Margin requirements have long been implemented in almost all financial markets and are often used as an important regulatory tool for improving market conditions. However, their economic impact beyond affecting default risk is still largely unknown. The first essay proposes a tractable and flexible equilibrium model with and without information asymmetry to examine how margin requirements on both long and short stock positions affect asset prices, market volatility, market illiquidity and the welfare of market participants. Most of my main results are obtained in closed-form. Contrary to one of the main regulatory goals, I find that margin requirements can significantly emph{increase} market volatility. In addition, margin requirements always increase market illiquidity (as measured by price impact) and can lead to a greater return reversal exactly when they amplify market volatility. I also find that information asymmetry may reverse or dampen the impact of margin requirements. Moreover, margin requirements always make unconstrained investors worse off and can make constrained investors better off. The model provides new testable implications. The second essay proposes a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities to buy at the bid and to sell at the ask and accordingly market clears separately at the bid and at the ask. Equilibrium bid and ask prices, bid and ask depths, trading volume and market makers' inventory levels are all derived in closed-form. Our model can help explain some of the puzzling empirical findings, such as bid-ask spreads can be lower with asymmetric information and can be positively correlated with trading volume. In addition, we find that information asymmetry may make informed investors worse off, may reduce the welfare loss due to market power and may increase the competition among market makers in equilibrium. Hart (1975) proved the difficulty of deriving general comparative statics in portfolio weights. Instead, in the third essay, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff A's payoff is always distributed as B's payoff plus a non-negative random variable plus conditional-mean-zero noise. If either agent has nonincreasing absolute risk aversion, the non-negative part can be chosen to be constant. The main result also holds in some incomplete markets with two assets or two-fund separation, and in multiple periods for a mixture of payoff distributions over time (but not at every point in time).

Download or read book Asset Pricing with Imperfect Competition and Endogenous Market Liquidity written by Christoph Heumann and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.

Download or read book Inside and Outside Liquidity written by Bengt Holmstrom and published by MIT Press. This book was released on 2013-01-11 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two leading economists develop a theory explaining the demand for and supply of liquid assets. Why do financial institutions, industrial companies, and households hold low-yielding money balances, Treasury bills, and other liquid assets? When and to what extent can the state and international financial markets make up for a shortage of liquid assets, allowing agents to save and share risk more effectively? These questions are at the center of all financial crises, including the current global one. In Inside and Outside Liquidity, leading economists Bengt Holmström and Jean Tirole offer an original, unified perspective on these questions. In a slight, but important, departure from the standard theory of finance, they show how imperfect pledgeability of corporate income leads to a demand for as well as a shortage of liquidity with interesting implications for the pricing of assets, investment decisions, and liquidity management. The government has an active role to play in improving risk-sharing between consumers with limited commitment power and firms dealing with the high costs of potential liquidity shortages. In this perspective, private risk-sharing is always imperfect and may lead to financial crises that can be alleviated through government interventions.

Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Markets Money and the Real World written by Paul Davidson and published by Edward Elgar Publishing. This book was released on 2003-01-01 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets, Money and the Real World by Paul Davidson is an informed and informative study of why the 1990s experienced a series of financial crises with terrible repercussions that reverberated throughout the global market. Focusing on the central role that domestic and international financial markets play in affecting the economic growth rate, and offering prescriptions to improve worldwide economic viability in the 21st century, Financial Markets, Money and the Real World is highly practical, forward thinking, and strongly recommended reading for students of economics in general, and the interactive, interdependent global financial markets in particular. Library Bookwatch/Midwest Book Review In Financial Markets, Money and the Real World Professor Davidson lucidly and persuasively sums up his major insights into the working of non-ergodic (uncertain) economic systems. It is essential reading for those who wish to understand why financial markets have become so volatile and are puzzled to know what to do about it. It is refreshing to read an author who writes so much in the spirit of Keynes and who is able and willing to develop Keynes s ideas creatively and apply them imaginatively to the understanding and management of today s globalized economy. Lord Skidelsky, University of Warwick, UK This book should be a classic in economics. Paul Davidson combines dazzling clarity and a passion for economic truth and common sense in illuminating the dark thickets surrounding today s free enterprise system. Professional economists and concerned citizens should both pay heed to this fine book. Peter L. Bernstein, Peter L. Bernstein Inc., US Professor Paul Davidson has long been a major avenue to the economic reality and the controlling economic ideas, especially those that have come into professional discussion with and since John Maynard Keynes. This is a major contribution, deserving the close attention of economists and all who seek accomplished economic guidance. I strongly recommend it. John Kenneth Galbraith, Harvard University, US Throughout the long, dark years of laissez-faire triumphalism, Paul Davidson lovingly tended the eternal flame of Keynes and ensured that it never went out. There is no better qualified economist to explain as this book does why Keynes is still relevant to a world pock-marked with the financial crises, poverty and unemployment that have resulted from neglecting his profound insights. Larry Elliott, The Guardian Paul Davidson investigates why the 1990s was a decade of financial crises that almost precipitated a global market crash. He explores the reasons why the global economy still struggles with the aftermath of these crises and discusses the possibility that volatile financial markets in the future will have real impacts on whole industries and national economic systems. The author highlights the central role that domestic and international financial markets play in determining the economic growth rate, unemployment rate and international payments position of capitalist economies. He explains why the primary function of financial markets is to create liquidity and demonstrates that a liquid market cannot be efficient, and an efficient market cannot be liquid. He also proves that preventing liquidity problems from developing in national and international financial markets is the key element in fostering prosperity. Statistical evidence and theoretical analysis are combined to demonstrate why orthodox prescriptions for liberalizing labor, product, and capital markets are the wrong policies for promoting a civilized society in the 21st century. Professional economists, financial reporters, government policy makers, those working in international economic organizations such as the IMF, the World Bank and the WTO, and concerned citizens will all benefit greatly from reading this highly acclaimed book.

Download or read book The Effects of Competition written by George Symeonidis and published by MIT Press. This book was released on 2002-01-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical and empirical study of the effects of competition across a broad range of industries. Policies to promote competition are high on the political agenda worldwide. But in a constantly changing marketplace, the effects of more intense competition on firm conduct, market structure, and industry performance are often hard to distinguish. This study combines game-theoretic models with empirical evidence from a "natural experiment" of policy reform. The introduction in the United Kingdom of the 1956 Restrictive Trade Practices Act led to the registration and subsequent abolition of explicit restrictive agreements between firms and the intensification of price competition across a range of manufacturing industries. An equally large number of industries were not affected by the legislation. Using data from before and after the 1956 act, this book compares the two groups of industries to determine the effect of price competition on concentration, firm and plant numbers, profitability, advertising intensity, and innovation. The book avoids two problems common to empirical studies of competition: how to measure the intensity of competition and how to unravel the links between competition and other variables. Because the change in the intensity of competition had an external cause, there is no need to measure the intensity of competition directly, and it is possible to identify one-way causal effects when estimating the impact of competition. The book also examines issues such as the industries in which collusion is more likely to occur; the effect of cartels and cartel laws on market structure and profitability; the links between competition, advertising, and innovation; and the constraints on the exercise of merger and antitrust policies.

Download or read book The Origins and Development of Financial Markets and Institutions written by Jeremy Atack and published by Cambridge University Press. This book was released on 2009-03-16 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collectively, mankind has never had it so good despite periodic economic crises of which the current sub-prime crisis is merely the latest example. Much of this success is attributable to the increasing efficiency of the world's financial institutions as finance has proved to be one of the most important causal factors in economic performance. In a series of insightful essays, financial and economic historians examine how financial innovations from the seventeenth century to the present have continually challenged established institutional arrangements, forcing change and adaptation by governments, financial intermediaries, and financial markets. Where these have been successful, wealth creation and growth have followed. When they failed, growth slowed and sometimes economic decline has followed. These essays illustrate the difficulties of co-ordinating financial innovations in order to sustain their benefits for the wider economy, a theme that will be of interest to policy makers as well as economic historians.

Download or read book The Oxford Handbook of the Economics of Networks written by Yann Bramoullé and published by Oxford University Press. This book was released on 2016-03-01 with total page 857 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics. From a methodological perspective, the contributors to this volume devote attention to theory, field experiments, laboratory experiments, and econometrics. Theoretical work in network formation, games played on networks, repeated games, and the interaction between linking and behavior is synthesized. A number of chapters are devoted to studying social process mediated by networks. Topics here include opinion formation, diffusion of information and disease, and learning. There are also chapters devoted to financial contagion and systemic risk, motivated in part by the recent financial crises. Another section discusses communities, with applications including social trust, favor exchange, and social collateral; the importance of communities for migration patterns; and the role that networks and communities play in the labor market. A prominent role of networks, from an economic perspective, is that they mediate trade. Several chapters cover bilateral trade in networks, strategic intermediation, and the role of networks in international trade. Contributions discuss as well the role of networks for organizations. On the one hand, one chapter discusses the role of networks for the performance of organizations, while two other chapters discuss managing networks of consumers and pricing in the presence of network-based spillovers. Finally, the authors discuss the internet as a network with attention to the issue of net neutrality.