Download or read book Essays on Expectations Equilibrium and Asset Pricing written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Information and Asset Pricing written by Xin Zhou and published by . This book was released on 2008 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines the effect of a short-sale constraint on risky asset price in a rational expectations model with asymmetric information. Imposing a short-sale constraint creates two competing effects. On one hand, it reduces the risky asset supply and exerts upward pressure on asset price. On the other hand, it forces investors with negative views on asset payoff to be sidelined. The latter effect can reduce the informational efficiency of asset price, which in turn decreases investors' demand for the risky asset. Consequently, imposing a short-sale constraint can bias equilibrium asset price in either direction depending on which effect dominates. Empirical analysis using short interest and institutional ownership data suggests that an increase in short interest relative to shares outstanding for individual stocks reduces informational efficiency measured by the probability of information-based trading and leads to lower risk adjusted stock returns. The effect of short-sale constraint on return volatility is ambiguous.

Download or read book Essays in Equilibrium Asset Pricing written by Jacob Boudoukh and published by . This book was released on 1991 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing and Learning Foundations of Equilibrium written by Alvaro Sandroni and published by . This book was released on 1996 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Equilibrium Asset Pricing and Investments written by Jiro Yoshida and published by . This book was released on 2007 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium Markets and Dynamics written by Cars H. Hommes and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains essays in honour of Claus Weddepohl who, after 22 years, is retiring as professor of mathematical economics at the Department of Quantitative Economics of the University of Amsterdam. Claus Weddepohl may be viewed as th~ first Dutch mathematical economist in the general equi librium tradition of Arrow, Debreu and Hahn. The essays in this book are centered around the themes Equilibrium, Markets and Dynamics, that have been at the heart of Weddepohl's work on mathematical economics for more than three decades. The essays have been classified according to these three themes. Admittedly such a classification always is somewhat arbitrary, and most essays would in fact fit into two or even all three themes. The essays have been written by international as well as Dutch friends and colleagues including Weddepohl's former Ph. D. students. The book starts with a review of Claus Weddepohl's work by Roald Ramer, who has been working with him in Amsterdam for all those years. The review describes how Weddepohl became fascinated by general equilibrium theory in the early stages of his career, how he has been working on the theory of markets throughout his career, and how he turned to applications of nonlinear dynamics to price adjustment processes in a later stage of his career. The first part of the book, Equilibrium, collects essays with general equilib rium theory as the main theme.

Download or read book Essays on Equilibrium Asset Pricing written by Rodolfo Javier Prieto Katunaric and published by . This book was released on 2010 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Information Acquisition and Asset Pricing written by Paul Marmora and published by . This book was released on 2015 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore different mechanisms by which information is generated in financial markets, and whether these mechanisms can account for empirical anomalies that models without information choice have difficulty explaining. In the first chapter, I survey the theoretical literature on perfectly competitive asset markets, with a particular focus on rational expectations models with endogenous information acquisition. In the second chapter, ``The Distribution of Information, the Market for Financial News, and the Cost of Capital", I present a rational expectations model with a competitive market for financial news that provides an explanation for why stocks with a higher degree of information asymmetry tend to earn higher expected returns. I demonstrate that when a small fraction of investors hold a large fraction of a firm's private information, few investors demand a copy of firm-specific news in equilibrium. As a result, each investor must incur a larger share of the fixed cost of news production to obtain a copy, which deters investors from learning more about the firm and therefore raises their required risk premium. This result hinges crucially on the ability of investors to share in the fixed cost of news production, which suggests that the financial news media plays an important role in determining how the cost of capital varies with the inequality of information across investors. In the third chapter, ``Learning About Noise" (with Oleg Rytchkov), we study theoretical implications of endogenous acquisition of non-fundamental information in financial markets. We develop a rational expectations model with heterogeneous information and multidimensional costly learning and demonstrate that i) investors specialize in information acquisition, that is, those who are endowed with high (low) quality information about fundamentals learn only about fundamentals (noise), ii) learning about fundamentals increases the asymmetry of information, whereas learning about noise decreases it, and iii) the opportunity to learn about noise unambiguously increases price informativeness.

Download or read book Essays in Equilibrium Asset Pricing written by Julien Cujean and published by . This book was released on 2013 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on General Equilibrium Asset Pricing Models and Macroeconomics written by James Michael Nason and published by . This book was released on 1987 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays in Equilibrium Asset Pricing with Imperfections written by Benjamin Croitoru and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Essay on General Equilibrium Asset Princing Models and Macroeconomics written by James M. Nason and published by . This book was released on 1987 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in the Equilibrium Approach to Aggregate Fluctuations and Asset Pricing written by Sumru Guler Altuǧ and published by . This book was released on 1985 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Expectations and the Meaning of Institutions written by Don Lavoie and published by Routledge. This book was released on 2005-08-19 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of Lachmann's essays outline his approach to economics and, in particular, his emphasis on the meaning of human institutions in a world of unpredictable change, rather than on quantitative and stable relations.

Download or read book Markets Information and Uncertainty written by Kenneth Joseph Arrow and published by Cambridge University Press. This book was released on 1999-01-28 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading theorists offer insights on the role of uncertainty and information in the market.