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  1. Strategic Foundations of Rational Expectations
    Author: Barelli, Paulo; Govindan, Srihari; Wilson, Robert
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study an economy with traders whose payoffs are quasilinear and their private signals are informative about an unobserved state parameter. The limit economy has infinitely many traders partitioned into a finite set of symmetry classes called... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study an economy with traders whose payoffs are quasilinear and their private signals are informative about an unobserved state parameter. The limit economy has infinitely many traders partitioned into a finite set of symmetry classes called types. It has a unique rational expectations Walrasian equilibrium (REE) whose price reveals the state. Total monotonicity, a property that limits heterogeneity across types, determines whether an efficient social choice function (SCF) is attainable using mechanisms in a class that includes auctions. An average crossing property on the primitives is a sufficient condition for total monotonicity. The REE is an efficient SCF so it is attainable by an auction if and only if it satisfies total monotonicity. REE with total monotonicityis not only attainable, but also implementable: it is approximated by the equilibrium outcomes of auctions with finitely many traders of each type and fine grids of the state, signals and bids

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Stanford University Graduate School of Business Research Paper ; No. 4217113
    Subjects: auctions; double auctions; equilibria; rational expectations; information aggregation
    Scope: 1 Online-Ressource (43 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 23, 2022 erstellt
  2. A new test for market efficiency and uncovered interest parity
    Author: Baillie, Richard; Diebold, Francis X.; Kapetanios, George; Kim, Kun Ho
    Published: November 3, 2022
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This draft: November 3, 2022
    Series: PIER working paper ; 22, 029
    Subjects: Dynamic regressions; forward premium anomaly; rational expectations; efficient markets; robust standard errors
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  3. Asymmetric Information, Disagreement, and the Valuation of Debt and Equity
    Author: Banerjee, Snehal; Breon-Drish, Bradyn M.; Smith, Kevin
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these valuations, depend upon disagreement and the intensity of liquidity trading. Moreover, debt and equity prices exhibit drift and reversals in response to news, the strength of which depend upon the firm's leverage. Finally, the firm's capital structure can influence its valuation, and the optimal capital structure depends on the relative amount of liquidity trade in debt versus equity

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Stanford University Graduate School of Business Research Paper ; No. 4278165
    Subjects: capital structure; rational expectations; difference of opinions; disagreement; liquidity trading; information quality
    Other subjects: Array
    Scope: 1 Online-Ressource (54 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 15, 2022 erstellt