Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

摘要: Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of informational aspects This book provides a detailed up-to-date survey this important body literature. The begins demonstrating how model asymmetric higher-order knowledge. It then contrasts competitive strategic equilibrium concepts under information. also illustrates dependence efficiency allocative on security structure linkage between both concepts. No-Trade theorems breakdowns due explained, existence bubbles symmetric investigated. remainder devoted contrasting different microstructure models demonstrate affects asset traders' , which provide explanation for technical analysis illustrate why some investors "chase trend." reader introduced herding cascades, can arise setting where agents' decision-making sequential. insights derived from used rational explanations stock crashes. Models all traders induced search same piece presented deeper insight into Keynes' comparison with beauty contest. concludes brief summary bank runs their connection crises.