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

By Markus K. Brunnermeier | Go to book overview

Index
action:
rule 16 , 34
space (set) 16
space discreteness 150-1 , 152
Admati, A. R. 67 , 70 , 71-2 , 136 , 137 , 139-40 , 141 , 148
aggregation:
information 25 , 69 , 166 , 168
representative consumer 39-40 , 44
agree to disagree 32-4
agreement theorem 33 , 34 , 35
Akerlof, G. A. 36
Allen, B. 29
Allen, F. 42 , 50 , 56 , 57 , 58 , 59 , 205
allocation 22
allocative efficiency see efficiency
analyst:
types 161-2 , 164
forecasts 156 , 160-2
Anderson, R. M. 29
Anderson, T. W. 64 n . , 110 n .
annuity trading 46
anti-herding 157-64
anticipation 156
arbitrage:
absence of 38 , 51
chains 195-8
limits of 205-7
no-arbitrage conditions 38 , 51
risky versus riskless 190-1 , 205-7
Arrow, K. 38 , 39 , 40 , 45 , 62
Arrow-Debreu security 38-40
asset pricing:
formulas, three 38-9
and market completeness 37-47
absolute versus relative 190
asymmetric information 24 , 31 , 35 , 121-4 , 130-1
dynamic models 45-7 , 96-146
increases trading volume 37
reduces trading volume—leads to market breakdowns 36-7
and sequential move games 18-20
static two-period models 41-2
share auctions 77
auctions 184-9
all pay 189
call auction 65-79 , 93-96 , 103 , 140 ; see also batch clearing
common value 185 , 189
English 187
Japanese 184
linkage principal 83 n .
multi-unit auction see share auction
private value 185
revenue equivalence theorem for unit-demand auctions (RET) 83 n . , 185-6 , 187 , 189
second and (K+1)th price auction 187 , 189
share auctions 72-9
unit demand auctions 184-9
Aumann, R. J. 9 , 21 , 31-4 , 35 , 44
Ausubel, L. M. 29 , 79 , 176 n .
Avery, C. 160 , 179 , 180 , 181
Azariadis, C. 50
Back, K. 78 , 140 , 146
Bagehot, W. 87 n .
Bagnoli, M. S. 96
Banerjee, A. V. 149-50 , 152 , 156
bank runs and financial crisis 148 , 213-20
banks as liquidity insurance providers 214-16
information-induced bank runs in unique equilibrium 217-19
sunspots 216-17
suspension of convertibility 217
batch clearing 65-79 , 93-6 , 103 , 136-46see also call auctions
Bayes' rule 9 , 17 , 32 , 90 , 102
Bayesian updating rule see Bayes' rule
Bayesian-Nash equilibrium 16-21 , 35 , 65 , 73 , 77 , 82 , 94-5 , 143 , 145 , 149 , 154 , 212
Markov Perfect Bayesian-Nash equilibrium 144
no-trade theorem 36
Perfect Bayesian-Nash equilibrium 19
sequential move games 17-20
simultaneous move games 17

-233-

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