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Author : Mark Latham
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (154 download)
Download or read book Informational Efficiency and the Private Value of Information written by Mark Latham and published by . This book was released on 1986 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyun Song Shin
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (62 download)
Download or read book Informational Efficiency Versus Economic Efficiency in a Market with Differential Information written by Hyun Song Shin and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas E. Copeland
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (321 download)
Download or read book The Market Value of Information written by Thomas E. Copeland and published by . This book was released on 1988 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xavier Vives
Publisher : Princeton University Press
ISBN 13 : 140082950X
Total Pages : 422 pages
Book Rating : 4.4/5 (8 download)
Download or read book Information and Learning in Markets written by Xavier Vives and published by Princeton University Press. This book was released on 2010-01-25 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts
Author : Li-Wei Chen
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Information Intensity, Informative Equilibrium, and the Value of Information written by Li-Wei Chen and published by . This book was released on 2006 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The traditional theory in the stock market holds that the information quality affects the market equilibrium. Recently empirical research tends to support a positive association between Information quantity (disclosure level) and the stock price.In contrast to previous literature we present a model analyzing the effect when information observed to explore the relationship between the information intensity (defined as quality times; quantity in this paper) and the market equilibrium.In this paper, we analyze the operation of the price system in a competitive market where there are I kinds of information x1, x2,...x1, which is to be observed and used f1, f2,...,f1 times respectively by risk-averse traders. Rational investor get informed to infer the intrinsic value of risky asset (such as stock), and invest (using the information) to maximize his own utility, and hence determine the equilibrium. There are four main results as follows.First, The equilibrium price in the above framework serves as an aggregator of different kinds of information (may be private) accord to their relative intensity and even an private information leaks out .it's said to be an efficient market defined as Fama 1970.Second, the random price can not serve as an efficiency estimator of intrinsic value of risky asset; traders still have incentive for collecting other information. The competitive markets will tend to be efficient but will not break down as described by Grossman 1976.Third, if investors become better informed by an increase in alternative sources of information, but financial reports remain conveying a smaller portion of the total information, then the value relevance of financial reports decline. Finally, the more difference between the signals observed, the investors adopt more active trading behavior, thus the quantity demanded and the utility gained from observing information (i.e. the value of information) for risky assets rise. Policies that reduce asymmetry of information will decrease the liquidity of the market for a firm's securities and the information value.
Author : Charles Lee
Publisher : Now Publishers
ISBN 13 : 9781601988928
Total Pages : 212 pages
Book Rating : 4.9/5 (889 download)
Download or read book Alphanomics written by Charles Lee and published by Now Publishers. This book was released on 2015-12-16 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alphanomics: The Informational Underpinnings of Market Efficiency is intended to be a compact introduction to academic research on market efficiency, behavioral finance, and fundamental analysis and is dedicated to the kind of decision-driven and prospectively-focused research that is much needed in a market constantly seeking to become more efficient. The authors refer to this type of research as Alphanomics, the informational economics behind market efficiency. Alpha refers to the abnormal returns, which provide the incentive for some subpopulation of investors to engage in information acquisition and costly arbitrage activities. Nomics refers to the economics of alpha extraction, which encompasses the costs and incentives of informational arbitrage as a sustainable business proposition. Some of the questions that are addressed include: why do we believe markets are efficient?; what problems have this belief engendered?; what factors can impede and/or facilitate market efficiency?; what roles do investor sentiment and costly arbitrage play in determining an equilibrium level of informational efficiency?; what is the essence of value investing?; how is it related to fundamental analysis (the study of historical financial data)?; and how might we distinguish between risk and mispricing based explanations for predictability patterns in returns? The first two sections review the evolution of academic thinking on market efficiency and introduce the noise trader model as a rational alternative. Section 3 surveys the literature on investor sentiment and its role as a source of both risks and returns. Section 4 discusses the role of fundamental analysis in value investing. Section 5 reviews the literature on limits to arbitrage, and section 6 discusses research methodology issues associated with the need to distinguish mispricing from risk.
Author : Hans-Michael Geiger
Publisher : Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.3/5 ( download)
Download or read book Informational Efficiency in Speculative Markets written by Hans-Michael Geiger and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 1989 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this work is to provide a critical presentation and some extensions of two perspectives of informational efficiency: On the one hand the neoclassical perspective or «arithmomorphic approach» explains efficiency in terms of a concept mainly based on an explicit economic theory. On the other hand, in the Austrian perspective or «causal genetic approach» attention is drawn to the entrepreneurial element of human decision making related to an arbitrage theory of profit which is not traced back to anonymous market forces but rather to incessant discovery of information guided by entrepreneurial alertness.
Author : Robert A. Jarrow
Publisher : Springer Nature
ISBN 13 : 3030744108
Total Pages : 470 pages
Book Rating : 4.0/5 (37 download)
Download or read book Continuous-Time Asset Pricing Theory written by Robert A. Jarrow and published by Springer Nature. This book was released on 2021-07-30 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
Author : Jennie Bai
Publisher :
ISBN 13 : 9781457835698
Total Pages : 59 pages
Book Rating : 4.8/5 (356 download)
Download or read book Have Financial Markets Become More Informative? written by Jennie Bai and published by . This book was released on 2012-12-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The finance industry has grown, financial markets have become more liquid, and information technology allows arbitrageurs to trade faster than ever. But have market prices then become more informative? We use stock and bond prices to forecast earnings and find that the information content of market prices has not improved since 1960. We use a model with information acquisition and investment to link financial development, price informativeness, and allocational efficiency. As information costs fall, the predictable component of future earnings should rise and hence improve capital allocation and welfare. We find that this component has remained stable over the past 50 years. When we decompose price informativeness into real price efficiency and forecasting price efficiency, we find that both have remained stable.
Author : Murali Agastya
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book Insider Trading, Informational Efficiency and Allocative Efficiency written by Murali Agastya and published by . This book was released on 2003 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: A dominant, net buyer of a certain asset receives a private signal that is correlated with its mean value. We call this insider a Boesky Insider when the quality of the received signal is such that the future value of the asset can be predicted with certainty. We show that even an infinitesimal probability that the insider is a Boesky Insider results in informational ineffciency of prices. Insisting that the equilibrium be continuous in the signal accentuates the inefficiency to the extent that no information is conveyed.The informational inefficiency not withstanding, the regime that allows insider trading can result in greater liquidity and is, in an exante sense, Pareto superior when compared to a regime in which insider trading is banned.
Author : Mustafa Akan
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110705354
Total Pages : 428 pages
Book Rating : 4.1/5 (17 download)
Download or read book Fundamentals of Finance written by Mustafa Akan and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-12-07 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance is the study of how individuals, institutions, governments, and businesses acquire, spend, and manage their money and other financial assets to maximize their value or wealth. Fundamentals of Finance introduces the nuances of finance in a comprehensive yet concise manner and is essential reading for professionals building a career in finance or for students taking a course in finance. The book consists of four parts: Part I: "Introduction to Finance, Money and Interest Rates, and Time Value of Money" focuses on the role financial markets play in the financial system and financial basics that underlie how markets operate. Part II: "Investments and Portfolio Management" discusses the characteristics of stocks and bonds, how securities are valued, the operations of securities markets, formation of optimal portfolios, and derivatives. Part III: "Financial Management/Corporate Finance" explores financial planning, asset management, and fund-raising activities that will enhance a firm’s value. Part IV: "Management of Financial Institutions" focuses on management of financial institutions in general, and risk management in financial institutions in particular. The book’s many examples, appendices, graphs and tables provide valuable know-how to a wide audience, making it an excellent resource for professionals as well as students who wish to attain a broad understanding of finance. Please contact [email protected] to request additional instructional material.
Author : Füllbrunn, Sascha
Publisher : Edward Elgar Publishing
ISBN 13 : 1800372337
Total Pages : 451 pages
Book Rating : 4.8/5 (3 download)
Download or read book Handbook of Experimental Finance written by Füllbrunn, Sascha and published by Edward Elgar Publishing. This book was released on 2022-10-13 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: With an in-depth overview of the past, present and future of the field, The Handbook of Experimental Finance provides a comprehensive analysis of the current topics, methodologies, findings, and breakthroughs in research conducted with the help of experimental finance methodology. Leading experts suggest innovative ways of designing, implementing, analyzing, and interpreting finance experiments.
Author : Robert Parrino
Publisher : John Wiley & Sons
ISBN 13 : 1119795435
Total Pages : 834 pages
Book Rating : 4.1/5 (197 download)
Download or read book Fundamentals of Corporate Finance written by Robert Parrino and published by John Wiley & Sons. This book was released on 2021-12-14 with total page 834 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fundamentals of Corporate Finance, 5th Edition develops the key concepts of corporate finance with an intuitive approach while emphasizing computational skills. This course helps students develop an intuitive understanding of key financial concepts and provides them with problem-solving and decision-making skills. Using an intuitive approach, students develop a richer understanding of corporate finance concepts while also enabling them to develop the critical judgments necessary to apply financial tools in real-world decision-making situations. Corporate Finance, 5e offers a level of rigor that is appropriate for both business and finance majors and yet presents the content in a manner that students find accessible.
Author : Sunil Dutta
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (319 download)
Download or read book Coexistence of Private and Public Disclosures written by Sunil Dutta and published by . This book was released on 1994 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cassidy John
Publisher : Penguin UK
ISBN 13 : 0141939427
Total Pages : 485 pages
Book Rating : 4.1/5 (419 download)
Download or read book How Markets Fail written by Cassidy John and published by Penguin UK. This book was released on 2013-01-31 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: How did we get to where we are? John Cassidy shows that the roots of our most recent financial failure lie not with individuals, but with an idea - the idea that markets are inherently rational. He gives us the big picture behind the financial headlines, tracing the rise and fall of free market ideology from Adam Smith to Milton Friedman and Alan Greenspan. Full of wit, sense and, above all, a deeper understanding, How Markets Fail argues for the end of 'utopian' economics, and the beginning of a pragmatic, reality-based way of thinking. A very good history of economic thought Economist How Markets Fail offers a brilliant intellectual framework . . . fine work New York Times An essential, grittily intellectual, yet compelling guide to the financial debacle of 2009 Geordie Greig, Evening Standard A powerful argument . . . Cassidy makes a compelling case that a return to hands-off economics would be a disaster BusinessWeek This book is a well constructed, thoughtful and cogent account of how capitalism evolved to its current form Telegraph Books of the Year recommendation John Cassidy ... describe[s] that mix of insight and madness that brought the world's system to its knees FT, Book of the Year recommendation Anyone who enjoys a good read can safely embark on this tour with Cassidy as their guide . . . Like his colleague Malcolm Gladwell [at the New Yorker], Cassidy is able to lead us with beguiling lucidity through unfamiliar territory New Statesman John Cassidy has covered economics and finance at The New Yorker magazine since 1995, writing on topics ranging from Alan Greenspan to the Iraqi oil industry and English journalism. He is also now a Contributing Editor at Portfolio where he writes the monthly Economics column. Two of his articles have been nominated for National Magazine Awards: an essay on Karl Marx, which appeared in October, 1997, and an account of the death of the British weapons scientist David Kelly, which was published in December, 2003. He has previously written for Sunday Times in as well as the New York Post, where he edited the Business section and then served as the deputy editor. In 2002, Cassidy published his first book, Dot.Con. He lives in New York.
Author :
Publisher :
ISBN 13 :
Total Pages : 792 pages
Book Rating : 4.:/5 (31 download)
Download or read book Research Program in Finance Working Paper Series written by and published by . This book was released on 1971 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jack Hirshleifer
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (227 download)
Download or read book Notes on the Private and Social Value of Information written by Jack Hirshleifer and published by . This book was released on 1967 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research on the 'economics of information' has examined the acquisition and dissemination of information in a context where uncertainty attaches to the supply-demand offers of potential market partners. In this paper markets are assumed to be perfect, and uncertainty is attached to each individual's perception of his own endowment and productive opportunities. The private and public values of sure prior information are compared where individuals aim to distribute their consumption optimally over dates and states. Under pure exchange, information as to which future state will obtain is generally of enormous private value but of no social value; hence there is an incentive for individuals to expend resources in a socially wasteful way to generate and disseminate this information. In a world of production and exchange these results are modified somewhat, since prior public information will affect production decisions in the appropriate way. It is shown that there still remains a bias, suggesting that private investigations into the question of which state does or will obtain (e.g., private scientific research) are carried beyond what is socially optimal. On the other hand, there is a strong presumption that the dissemination of information will be socially valuable. Thus, the government should support industrial research less but industrial espionage more.
