Metadatas
- ISIDORE Id: 10670/1.05dd4b...
- halshs: halshs-00754485
- doi: 10.1007/s10436-009-0130-1
- PRODINRA: 316668
This document is linked to :
info:eu-repo/semantics/altIdentifier/doi/10.1007/s10436-009-0130-1
Keywords
Endogenous information Strategic complementarity Financial markets Aggregation of information D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D82 - Asymmetric and Private Information • Mechanism Design G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider TradingSimilar subjects
Standard of value Public marketsCite this document
Christophe Chamley, « Strategic complementarity of information in financial markets with large shocks », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10.1007/s10436-009-0130-1
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Abstract
In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.
