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Asset pricing under asymmetric information : bubbles, crashes, technical analysis, and herding /

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Bibliographic Details
Main Authors: Brunnermeier, Markus Konrad
Corporate Authors: Oxford University Press.
Published: Oxford University Press,
Publisher Address: Oxford [England] :
Publication Dates: 2001.
Literature type: eBook
Language: English
Subjects:
Stocks > Prices.
Capital assets pricing model.
Information theory in economics.
Online Access: http://www.iresearchbook.cn/f/ebook/detail?id=58f322858a104992be56f8a20c4fe59e
Carrier Form: 1 online resource (xv, 244 pages) : illustrations
Bibliography: Includes bibliographical references (pages [221]-232) and index.
ISBN: 9780191522819
9780198296980
Index Number: HG4636
CLC: F830.9
Contents: 1. Information, Equilibrium, and Efficiency Concepts. 1.1. Modeling Information. 1.2. Rational Expectations Equilibrium and Bayesian Nash Equilibrium. 1.3. Allocative and Informational Efficiency -- 2. No-Trade Theorems, Competitive Asset Pricing, Bubbles. 2.1. No-Trade Theorems. 2.2. Competitive Asset Prices and Market Completeness. 2.3. Bubbles -- 3. Classification of Market Microstructure Models. 3.1. Simultaneous Demand Schedule Models. 3.2. Sequential Move Models -- 4. Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume. 4.1. Technical Analysis - Inferring Information from Past Prices. 4.2. Serial Correlation Induced by Learning and the Infinite Regress Problem. 4.3. Competitive Multiperiod Models. 4.4. Inferring Information from Trading Volume in a Competitive Market Order Models. 4.5. Strategic Multiperiod Market Order Models with a Market Maker -- 5. Herding and Informational Cascades. 5.1. Herding due to Payoff Externalities. 5.2. Herding due to Information Externalities.
5.3. Reputational Herding and Anti-herding in Reputational Principal-Agent Models -- 6. Herding in Finance, Stock Market Crashes, Frenzies, and Blank Runs. 6.1. Stock Market Crashes. 6.2. Keynes' Beauty Contest, Investigative Herding, and Limits of Arbitrage. 6.3. Firms' Short-Termism. 6.4. Bank Runs and Financial Crisis.

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