دانلود کتاب Asset pricing under asymmetric information: Bubbles, Crashes, Technical Analysis, and Herding

فهرست مطالب :

Contents......Page 8
List of figures......Page 10
Preface......Page 12
1. Information, Equilibrium, and Efficiency Concepts......Page 18
1.1. Modeling Information......Page 19
1.2.1. Rational Expectations Equilibrium......Page 31
1.2.2. Bayesian Nash Equilibrium......Page 33
1.3. Allocative and Informational Efficiency......Page 38
2.1. No-Trade Theorems......Page 47
2.2. Competitive Asset Prices and Market Completeness......Page 54
2.2.1. Static Two-Period Models......Page 55
2.2.2. Dynamic Models – Complete Equitization versus Dynamic Completeness......Page 61
2.3 Bubbles......Page 64
2.3.1. Growth Bubbles under Symmetric Information......Page 65
2.3.2. Information Bubbles......Page 72
3. Classification of Market Microstructure Models......Page 77
3.1.1. Competitive REE......Page 82
3.1.2. Strategic Share Auctions......Page 89
3.2.1. Screening Models á la Glosten......Page 96
3.2.2. Sequential Trade Models á la Glosten and Milgrom......Page 104
3.2.3. Kyle-Models and Signaling Models......Page 110
4. Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume......Page 115
4.1. Technical Analysis – Inferring Information from Past Prices......Page 116
4.1.1. Technical Analysis – Evaluating New Information......Page 117
4.1.2. Technical Analysis about Fundamental Value......Page 120
4.2. Serial Correlation Induced by Learning and the Infinite Regress Problem......Page 130
4.3. Competitive Multiperiod Models......Page 134
4.4. Inferring Information from Trading Volume in a Competitive Market Order Model......Page 147
4.5. Strategic Multiperiod Market Order Models with a Market Maker......Page 153
5.1. Herding due to Payoff Externalities......Page 164
5.2. Herding due to Information Externalities......Page 165
5.2.1. Exogenous Sequencing......Page 166
5.2.2. Endogenous Sequencing, Real Options, and Strategic Delay......Page 170
5.3. Reputational Herding and Anti-herding in Reputational Principal–Agent Models......Page 174
5.3.1. Exogenous Sequencing......Page 175
5.3.2. Endogenous Sequencing......Page 180
6. Herding in Finance, Stock Market Crashes, Frenzies, and Bank Runs......Page 182
6.1. Stock Market Crashes......Page 183
6.1.1. Crashes in Competitive REE Models......Page 185
6.1.2. Crashes in Sequential Trade Models......Page 194
6.1.3. Crashes and Frenzies in Auctions and War of Attrition Games......Page 201
6.2. Keynes’ Beauty Contest, Investigative Herding, and Limits of Arbitrage......Page 207
6.2.1. Unwinding due to Short Horizons......Page 209
6.2.2. Unwinding due to Risk Aversion in Incomplete Markets Settings......Page 215
6.2.3. Unwinding due to Principal–Agent Problems......Page 221
6.3. Firms’ Short-Termism......Page 228
6.4. Bank Runs and Financial Crisis......Page 230
References......Page 238
B......Page 250
C......Page 251
E......Page 252
H......Page 253
I......Page 254
L......Page 255
N......Page 256
R......Page 257
S......Page 258
V......Page 260
Z......Page 261