Asset pricing under asymmetric information: bubbles, crashes, technical analysis, and herding
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2001
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | XV, 244 S. |
| ISBN: | 0198296983 9780198296980 |
Staff View
MARC
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| 100 | 1 | |a Brunnermeier, Markus Konrad |d 1969- |e Verfasser |0 (DE-588)129563668 |4 aut | |
| 245 | 1 | 0 | |a Asset pricing under asymmetric information |b bubbles, crashes, technical analysis, and herding |c Markus K. Brunnermeier |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2001 | |
| 300 | |a XV, 244 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
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| 650 | 4 | |a Capital-Asset-Pricing-Modell - Aktienkurs - Informationsökonomie | |
| 650 | 4 | |a Stocks -- Prices | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Information theory in economics | |
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Record in the Search Index
| _version_ | 1804128266585374720 |
|---|---|
| adam_text | CONTENTS
Ust
of
figures
ix
Preface
xi
1.
Information, Equilibrium, and Efficiency Concepts
1
1.1.
Modeling Information
2
1.2.
Rational Expectations Equilibrium and
Bayesian Nash Equilibrium
14
1.2.1.
Rational Expectations Equilibrium
14
í
.2.2.
Bayesian Nash Equilibrium
16
1.3.
Allocative and Informational Efficiency
21
2.
No-Trade Theorems, Competitive Asset Pricing, Bubbles
30
2.1.
No-Trade Theorems
30
2.2.
Competitive Asset Prices and Market Completeness
37
2.2.1.
Static Two-Period Models
38
2.2.2.
Dynamic Models
—
Complete Equitization versus
Dynamic Completeness
44
2.3
Bubbles
47
2.3.1.
Growth bubbles under Symmetric Information
48
23.2.
Information Bubbles
55
3.
Classification of Market
Microstructure
Models
60
3.1.
Simultaneous Demand Schedule Models
65
3.1.1.
Competitive REE
65
3.1.2.
Stra
tegic Share
Au étions
72
3.2.
Sequential Move Models
79
3.2.1.
Screening Models
à la G
losten 79
3.2.2.
Sequential Trade Models
à la
Glosten and Milgrom
87
3.2.3.
Kyle-Models and Signaling Models
93
4.
Dynamic Trading Models, Technical Analysis, and
the Role of Trading Volume
98
4.1.
Technical Analysis
—
Inferring Information
from Past Prices
99
4.1.1.
Technical Analysis
—
Evaluating New Information
100
4.1.2.
Technical Analysis about Fundamental Value
103
Vlil
Contents
4.2.
Serial Correlation Induced by Learning and the
Infinite Regress Problem
113
4.3.
Competitive Multiperiod Models
117
4.4.
Inferring Information from Trading Volume in a
Competitive Market Order Model
130
4.5.
Strategic Multiperiod Market Order Models
with a Market Maker
136
5.
Herding and Informational Cascades
147
5.1.
Herding due to Payoff Externalities
147
5.2.
Herding due to Information Externalities
148
5.2.1.
Exogenous Sequencing
149
5.2.2.
Endogenous Sequencing, Real Options,
and Strategic Delay
153
5.3.
Reputational Herding and Anti-herding in
Reputational Principal-Agent Models
157
5.3.1.
Exogenous Sequencing
158
5.3.2.
Endogenous Sequencing
163
6.
Herding in Finance, Stock Market Crashes, Frenzies,
and Bank Runs
165
6.1.
Stock Market Crashes
166
6.1.1.
Crashes in Competitive REE Models
168
6.1.2.
Crashes in Sequential Trade Models
177
6.1.3.
Crashes and Frenzies in Auctions and War of
Attrition Games
184
6.2.
Keynes Beauty Contest, Investigative Herding, and
Limits of Arbitrage
190
6.2.1.
Unwinding due to Short Horizons
192
6.2.2.
Unwinding due to Risk Aversion in
Incomplete Markets Settings
198
6.2.3.
Unwinding due to Principal-Agent Problems
204
6.3.
Firms Short-Termism
211
6.4.
Bank Runs and Financial Crisis
213
References
221
Index
233
|
| any_adam_object | 1 |
| author | Brunnermeier, Markus Konrad 1969- |
| author_GND | (DE-588)129563668 |
| author_facet | Brunnermeier, Markus Konrad 1969- |
| author_role | aut |
| author_sort | Brunnermeier, Markus Konrad 1969- |
| author_variant | m k b mk mkb |
| building | Verbundindex |
| bvnumber | BV013476417 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4636 |
| callnumber-raw | HG4636.B78 2001 |
| callnumber-search | HG4636.B78 2001 |
| callnumber-sort | HG 44636 B78 42001 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 QK 622 QK 650 |
| classification_tum | WIR 175f |
| ctrlnum | (OCoLC)247855690 (DE-599)BVBBV013476417 |
| dewey-full | 332.63/22221 332.63222 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222 21 332.63222 |
| dewey-search | 332.63/222 21 332.63222 |
| dewey-sort | 3332.63 3222 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| indexdate | 2024-07-09T18:46:31Z |
| institution | BVB |
| isbn | 0198296983 9780198296980 |
| language | English |
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| physical | XV, 244 S. |
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| spelling | Brunnermeier, Markus Konrad 1969- Verfasser (DE-588)129563668 aut Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding Markus K. Brunnermeier 1. publ. Oxford [u.a.] Oxford Univ. Press 2001 XV, 244 S. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Börsenkurs / Capital Asset Pricing Model / Asymmetrische Information / Bubbles / Börsenkrise / Wertpapieranalyse / Theorie Capital-Asset-Pricing-Modell - Aktienkurs - Informationsökonomie Stocks -- Prices Capital assets pricing model Information theory in economics Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Asymmetrische Information (DE-588)4120934-5 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Aktienindex (DE-588)4141735-5 gnd rswk-swf Aktienindex (DE-588)4141735-5 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Asymmetrische Information (DE-588)4120934-5 s DE-604 Aktienkurs (DE-588)4141736-7 s DE-188 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009196961&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brunnermeier, Markus Konrad 1969- Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding Börsenkurs / Capital Asset Pricing Model / Asymmetrische Information / Bubbles / Börsenkrise / Wertpapieranalyse / Theorie Capital-Asset-Pricing-Modell - Aktienkurs - Informationsökonomie Stocks -- Prices Capital assets pricing model Information theory in economics Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Asymmetrische Information (DE-588)4120934-5 gnd Aktienkurs (DE-588)4141736-7 gnd Aktienindex (DE-588)4141735-5 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4120934-5 (DE-588)4141736-7 (DE-588)4141735-5 |
| title | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding |
| title_auth | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding |
| title_exact_search | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding |
| title_full | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding Markus K. Brunnermeier |
| title_fullStr | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding Markus K. Brunnermeier |
| title_full_unstemmed | Asset pricing under asymmetric information bubbles, crashes, technical analysis, and herding Markus K. Brunnermeier |
| title_short | Asset pricing under asymmetric information |
| title_sort | asset pricing under asymmetric information bubbles crashes technical analysis and herding |
| title_sub | bubbles, crashes, technical analysis, and herding |
| topic | Börsenkurs / Capital Asset Pricing Model / Asymmetrische Information / Bubbles / Börsenkrise / Wertpapieranalyse / Theorie Capital-Asset-Pricing-Modell - Aktienkurs - Informationsökonomie Stocks -- Prices Capital assets pricing model Information theory in economics Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Asymmetrische Information (DE-588)4120934-5 gnd Aktienkurs (DE-588)4141736-7 gnd Aktienindex (DE-588)4141735-5 gnd |
| topic_facet | Börsenkurs / Capital Asset Pricing Model / Asymmetrische Information / Bubbles / Börsenkrise / Wertpapieranalyse / Theorie Capital-Asset-Pricing-Modell - Aktienkurs - Informationsökonomie Stocks -- Prices Capital assets pricing model Information theory in economics Capital-Asset-Pricing-Modell Asymmetrische Information Aktienkurs Aktienindex |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009196961&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brunnermeiermarkuskonrad assetpricingunderasymmetricinformationbubblescrashestechnicalanalysisandherding |