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19 septembre 2023
- handle: 10670/1.fv7om0
- halshs: halshs-04210677
info:eu-repo/semantics/OpenAccess
Mots-clés
Rational expectations Market efficiency Rationalizability Beautycontest Fundamental volatility Behavioral finance Excess volatility D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D84 - Expectations • Speculations E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading G - Financial EconomicsSujets proches
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Gabriel Desgranges et al., « Fundamental Volatility and Financial Stability », HAL-SHS : économie et finance, ID : 10670/1.fv7om0
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Résumé
Financial investors choose the capital they invest into risky firms based on the return they expect. The actual return depends on fundamental shocks and the aggregate investment, which gives rise to beauty-contest issues. The paper characterizes how the ability of investors to solve these issues relates to the amount of fundamental volatility. It exploits this link to provide a quantitative assessment of the contribution of fundamentals to market volatility. Volatility would be driven by fundamentals in most markets. However out-ofequilibrium beliefs significantly contribute to observed volatility in markets of the financial sector.