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

By Rohit Rahi. 2002

120 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ab6a67b94f4605f6e17a5f8ae9c6bdbbb497cf50

How researchers see this paper

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

In Economics and Econometrics

Citations in the corpus

Synchronization risk and delayed arbitrage (2002, background): “Abreu and Brunnermeier (2001) show that arbitrageurs prefer to ride a growing bubble until its size reaches a critical level.”
Herd Behaviour and Cascading in Capital Markets: A Review and Synthesis (2003, background): “Furthermore, there are rational models of bubbles and crashes that do not involve herding (see, e.g., the agency=intermediation model of Allen and Gale (2000a), and the review of Brunnermeier (2001)).”
Herd Behavior and Contagion in Financial Markets (2008, unknown): “Without gains from trade noise traders are necessary for trade to take place.(7) The presence of gains from trade makes trade possible even without noise traders by allowing the market maker to set a bid and ask spread at which he makes zero profit.”
Does Monetary Policy Affect Bank Risk-Taking? (2010, unknown): “…low returns on investments, such as government (risk-free) securities, may increase incentives for banks, asset managers and insurance companies to take on more risk for behavioral, contractual or institutional reasons, for example to meet a nominal return target (Brunnermeier, 2001; Rajan, 2005).”
Corporate Social Responsibility, Noise, and Stock Market Volatility (2012, background): “CSR signals are subject to information asymmetry, which refers to a situation in which one party to an economic transaction, usually the seller, has more information than another, usually the buyer (Akerlof, 1970; Brunnermeier, 2001; Leland & Pyle, 1977).”
Thought and Behavior Contagion in Capital Markets (2008, unknown): “the model of Abreu and Brunnermeier (2003), the common knowledge assumption is violated, and arbitrageurs who seek to profit from the end of a bubble are not sure when other arbitrageurs will start to sell.”