Information Markets and the Comovement of Asset Prices

By Laura L. Veldkamp. 2006

404 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/911bf590c5e161ca4e2e0538fcd6d4fde8ccf44c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Liyan Yang
2. Raynolde Pereira
3. Itay Goldstein
4. D. Andrei
5. Ching-Chih Lu
6. Xiumin Martin
7. Yan Li
8. Michael Hasler

In Economics and Econometrics

1. Liyan Yang
2. Itay Goldstein
3. Shiyang Huang
4. Yulin Huang
5. D. Andrei
6. Ching-Chih Lu
7. Xiumin Martin
8. Yan Li

In Finance

1. Liyan Yang
2. Itay Goldstein
3. Shiyang Huang
4. Yulin Huang
5. D. Andrei
6. Ching-Chih Lu
7. Xiumin Martin
8. Yan Li

Citations in the corpus

• Attention allocation and return co-movement: Evidence from repeated natural experiments (2019, background): “…framework of rational inattention to explain puzzling asset pricing phenomena, such as the co-movement of asset prices (e.g., Peng and Xiong, 2006; Veldkamp, 2006; Veldkamp and Wolfers, 2007).1 Specifically, existing theoretical works predict that investors paying less attention to financial…”
• Endogenous Information, Menu Costs and Inflation Persistence (2008, neutral): “In contrast, Veldkamp (2006a) considers economies in which there exist industries supplying the same information to heterogeneous firms.”
• Trading Frenzies and Their Impact on Real Investment (2013, neutral): “Papers in this literature include Froot, Scharfstein, and Stein (1992), Hirshleifer, Subrahmanyam, and Titman (1994), Veldkamp (2006a, 2006b), Ganguli and Yang (2009), Amador and Weill (2010), and Garcia and Strobl (2011).”
• Investor Attention and Stock Market Volatility (2015, background): “In Veldkamp (2006b) costly information yields excess co-movement among asset prices.”
• Speculation and Hedging in Segmented Markets (2014, positive): “Veldkamp (2006a, 2006b) relies on fixed costs in information production to generate strategic complementarities and explain large jumps and comovement in asset prices.”
• Time-Series and Cross-Sectional Excess Comovement in Stock Indexes (2008, neutral): “Many theoretical models (e.g., King and Wadhwani, 1990; Kodres and Pritsker, 2002; Veldkamp, 2006; Pasquariello, 2007) also describe contagion as a pervasive equilibrium property of a financial market.”
• Incentives for Information Production in Markets where Prices Affect Real Investment (2016, neutral): “…recent literature developing different mechanisms that generate strategic complementarities in information acquisition, for example, Froot, Scharfstein, and Stein (1992), Veldkamp (2006), Hellwig and Veldkamp (2009), Garcia and Strobl (2011), Ganguli and Yang (2009), and Goldstein and Yang (2015).”