Download or read book Asset Prices in a Time Series Model with Disparately Informed Competative Traders written by Kenneth J. Singleton and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the time series properties of the price of a risky asset implied by a model in which competitive traders are heterogeneously informed about the underlying sources of uncertainty in the economy.Traders do not observe the shocks in the period they occur. However, traders are imperfectly and heterogeneously informed about these shocks for three reasons:(1) the shocks are serially correlated arid hence partially forecast able from their past history, (2) each trader receives private signals about the current values of a subset of the shocks, and (3) the equilibrium price conveys information about the private signals and beliefs of other traders. Since prices convey information in this economy, traders will face an infinite regress problem in expectations associated with their desire to forecast the beliefs of others, the beliefs of others about average beliefs, etc.The equilibrium time series representation for the price of the risky security is deduced in various imperfect information environments. Then the volatility and autocorrelations of prices in this model are compared to the corresponding statistics for a model in which agents are homogeneously informed.
Download or read book Asset Prices in a Time Series Model with Perpetually Disparately Informed Competitive Traders written by Kenneth Kasa and published by . This book was released on 2006 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia's (1981) frequency domain methods to derive conditions on the fundamentals that guarantee noninvertibility of the mapping between observed market data and the underlying shocks to agents' information sets. When these conditions are satisfied, agents must 'forecast the forecasts of others'. The paper provides an explicit analytical characterization of the resulting higher-order belief dynamics. These additional dynamics can explain apparent violations of variance bounds and rejections of cross-equation restrictions.
Download or read book Asset Prices in a Time Series Model with Disparately Informed Competitive Traders written by Kenneth J. Singleton and published by . This book was released on 1986 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Prices in a Time Series Model with Disparatily Informed Competitive Traders written by and published by . This book was released on 1986 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Prices and Informed Traders Abilities written by Lucy F. Ackert and published by . This book was released on 2015 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study reports the results of fifteen experimental asset markets designed to investigate the effects of forecasts on market prices, traders' abilities to assess asset value, and the link between the two. Across the fifteen markets, the authors investigate alternative forecast-generating processes. In some markets the process produces an unbiased estimate of asset value and in others a biased estimate. The processes generating the biased forecasts, though, are less variable than the process generating the unbiased forecast. The authors find that, in general, period-end asset price reflects private forecasts, regardless of the forecast-generating process. Subsequently, they investigate whether traders' abilities to use forecasts differ across the forecast-generating processes. The authors find that most are able to properly use unbiased forecasts. They refer to them as smart traders. By comparison, a significant proportion is unable to properly use biased forecasts (typically traders' adjustments for bias are insufficient). Linking market outcomes and traders' abilities, the authors find that asset price appears to properly reflect unbiased forecasts as long as the market includes at least two smart informed traders who have sufficient ability to influence market outcomes. To obtain a comparable result in markets with the biased forecast, at least three smart informed traders with sufficient ability to influence market outcomes are necessary.
Download or read book The Time Series of the Cross Section of Asset Prices written by Lior Menzly and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing literature: A high equity premium and volatility of returns, the long horizon predictability, and a low volatility of the risk free rate. The model combines a rich payoff structure with a habit persistence discount factor, which allows us to identify the effect on prices of idiosyncratic cash flow shocks versus business cycle components
