Asset Pricing under Asymmetric Information

By Markus K. Brunnermeier. 2001

223 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/44daddb1577ddaf11b661eced341cb56530b6b5d

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Citations in the corpus

Herd Behavior and Contagion in Financial Markets (2008, unknown): “3See also the considerations contained in Brunnermeier(2001). high, he realizes that the two previous agents (who sold) had low signals.”
Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation (2009, background): “Below we investigate how each of these different arrangements about who 7For an overview of the role of exogenous information in asset markets, see Brunnermeier (2001).”
Beauty Contests and Iterated Expectations in Asset Markets (2006, background): “1⁄4 2 2 2 þ 1 1 þ þ 2 2 Using the formula in Brown and Jennings (1989) [see also Brunnermeier (2001), page 110], trader i’s demand for the asset will be”
Information Acquisition and Under-Diversification (2010, methodology): “This is a Wishart variable.”
PRICE INFERENCE IN SMALL MARKETS (2012, methodology): “This model gives rise to preferenecs as in (1), up to a constant, where i 1 ti.”
Cross-country effects in herding behaviour: Evidence from four south European markets (2011, unknown): “In his account of the financial crisis, Brunnermeier (2009) identifies “fire sales” as an”
Beauty Contests, Bubbles and Iterated Expectations in Asset Markets ∗ (2003, unknown): “For completeness, we report a self-contained argument, but those papers and Brunnermeier (2001) can be consulted for more detail.”
Hedge Funds and the Technology Bubble (2004, background): “Brunnermeier (2001) provides a more comprehensive survey of the literature on bubbles. provides results on the timing of their exposure at an individual stock level.”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “Brunnermeier (2001) provides an overview of these Kyle-type models, and he also discusses phenomena such as gradual information flow (some investors learn information before others) which may have implications for future research on the effects of public financial disclosures. independent of…”
Who Drove and Burst the Tech Bubble (2011, background): “3 Brunnermeier (2001, 2008) evaluates bubble models and LeRoy (2004) discusses empirical bubble connections.”
Information Leakage and Market Efficiency (2005, background): “The random variable s refers to the short-run information which 5See Brunnermeier (2001) or O’Hara (1995) for a detailed discussion of the different reasons why liquidity traders trade, and for a discussion on the distinction between information of common versus private interest.”
Herding and Contrarian Behavior in Financial Markets: An Internet Experiment (2005, background): “3For a survey of theories of rational bubbles and herding, see e.g., Brunnermeier (2001).”