Beauty Contests and Iterated Expectations in Asset Markets

By Franklin Allen, Stephen Morris, Hyun Song Shin. 2006

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9765034c33d2e08304e4c0ed39dc57edf843bec3

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Citations in the corpus

The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, unknown): “Singleton (2012), for example, building on Allen, Morris, and Shin (2006), stresses that participants in oil futures markets may form expectations not only in terms of expected fundamentals, but also in anticipation of other market participants’ actions.”
Do Stock Price Bubbles Influence Corporate Investment (2005, unknown): “3See also Allen, Morris, and Shin (2003).”
A Scapegoat Model of Exchange Rate Fluctuations (2004, background): “The third is an interest arbitrage equation: Et(st+1) st = it i t + bt 2 t (1)”
Treasury inconvenience yields during the COVID-19 crisis (2020, unknown): “60 ative to short-term T-bills whose values are largely determined by the near-term promise to repay by the US government, the market prices of long-term Treasuries are endogenous and subject to coordination risk, along the lines of Allen et al. (2006) . Three related works, Duffie (2020) , Schrimpf”
Knowing What Others Know: Coordination Motives in Information Acquisition (2007, unknown): “In stage two, agents observe their chosen signals and pick an optimal 2Other variants of the beauty contest game have been used by Allen, Morris, and Shin (2006) to study asset pricing, by Froot, Scharfstein, and Stein (1992) to study the incentives of financial analysts, and by Angeletos and Pavan…”
Managers’ and Investors’ Responses to Media Exposure of Board Ineffectiveness (2009, unknown): “Accordingly, analyzing the role of higher order beliefs on price formation, Allen, Morris, and Shin (2006) show that the media is likely to play a disproportionate role in asset pricing.”
Higher Order Expectations in Asset Pricing (2004, unknown): “it = Xt ( 2 ) We de�ne the risk premium term as �t = �2tXt=R, where �2 t = R i � 2 it (we will”
Central Bank Transparency and the Signal Value of Prices (2006, background): “The decision rule (2) that was motivated by the beauty contest can be given more familar macroeconomic underpinnings by appealing to the island economymodel of Lucas (1972, 1973) and Phelps (1970).”
Coups, Corporations, and Classified Information (2008, unknown): “This is consistent with both private information theories of asset price determination (Allen et al. 2006) and the empirical literature on insider trading (Meulbroek 1992).”