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

By Markus K. Brunnermeier | Go to book overview

References

Admati, Anat R. (1985): “A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets, ” Econometrica, 53, 629-657.

—— (1989): “Information in Financial Markets: The Rational Expectations Approach, ” in Financial Markets and Incomplete Information, ed. by Sudipto Bhattacharya and George M. Constantinides, pp. 139-152. Rowman and Littlefield Publishers, Inc., Totowa, NJ.

Admati, Anat R., and Paul Pfleiderer (1986): “A Monopolisitic Market for Information, ” Journal of Economic Theory, 39, 400-438.

—— (1988): “A Theory of Intraday Patterns: Volume and Price Variability, ” Review of Financial Studies, 1(1), 3-40.

—— (1990): “Direct and Indirect Sale of Information, ” Econometrica, 58, 901-928.

Akerlof, G. A. (1970): “The Market for 'Lemons': Quality Uncertainty and the Market Mechanism, ” Quarterly Journal of Economics, 84, 488-500.

Allen, Beth (1981): “A Class of Monotone Economies in which Rational Expectations Equilibria Exist but Prices do not Reveal all Information, ” Economics Letters, 7, 227-232.

—— (1982): “Strict Rational Expectations Equilibria with Diffuseness, ” Journal of Economic Theory, 27, 20-46.

—— (1985): “The Existence of Fully Rational Expectations Approximate Equilibria with Noisy Price Observations, ” Journal of Economic Theory, 37, 213-253.

Allen, Franklin, and Douglas Gale (1994): Financial Innovation and Risk Sharing. MIT Press, Cambridge, MA.

—— (2000): “Bubbles and Crises, ” Economic Journal, 110, 236-255.

Allen, Franklin, and Gary Gorton (1993): “Churning Bubbles, ” Review of Economic Studies, 60, 813-836.

Allen, Franklin, Stephen Morris, and Andrew Postlewaite (1993): “Finite Bubbles with Short Sale Constraints and Asymmetric Information, ” Journal of Economic Theory, 61, 206-229.

Anderson, Robert M., and Hugo Sonnenschein (1982): “On the Existence of Rational Expectations Equilibrium, ” Journal of Economic Theory, 26, 261-278.

Anderson, T. W. (1984): An Introduction to Multivariate Statistical Analysis. John Wiley & Sons, New York, Chapter 2.

Arrow, Kenneth (1953): “Le Rôle des Valeurs Boursières pour la Répartition la Meilleure des Risques, ” Econometrie, 31, 91-96; Colloques Internationaux du Centre National de la Recherche Scientifique 40 (Paris 1952), pp. 41-47; discussion, pp. 47-48, C.N.R.S. (Paris 1953), pp. 41-47; English translation in Review of Economic Studies (1964), 31, 91-96.

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