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Reputation and Asset Prices: A Theory of Information Cascades and Systematic Mispricing

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  • Amil Dasgupta
  • Andrea Prat

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Bibliographic Info

Paper provided by UCLA Department of Economics in its series Levine's Bibliography with number 784828000000000368.

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Date of creation: 31 Aug 2005
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Handle: RePEc:cla:levrem:784828000000000368

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References

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  1. Smith, L. & Sorensen, P., 1996. "Pathological Outcomes of Observational Learning," Working papers 96-19, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Chari, V. V. & Kehoe, Patrick J., 2004. "Financial crises as herds: overturning the critiques," Journal of Economic Theory, Elsevier, Elsevier, vol. 119(1), pages 128-150, November.
  3. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 379-95, June.
  4. Hyun Song Shin & Andrew Postlewaite & Stephen Morris, 1995. "Depth of knowledge and the effect of higher order uncertainty," Economic Theory, Springer, Springer, vol. 6(3), pages 453-467.
  5. Avery, Christopher N. & Chevalier, Judith A., 1999. "Herding over the career," Economics Letters, Elsevier, Elsevier, vol. 63(3), pages 327-333, June.
  6. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 35-55, March.
  7. Allen, Franklin & Gorton, Gary, 1993. "Churning Bubbles," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 60(4), pages 813-36, October.
  8. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, American Economic Association, vol. 81(2), pages 227-31, May.
  9. Andrea Prat & Amil Dasgupta, 2004. "Career Concerns in Financial Markets," FMG Discussion Papers, Financial Markets Group dp494, Financial Markets Group.
  10. Judith Chevalier & Glenn Ellison, 1999. "Career Concerns Of Mutual Fund Managers," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 114(2), pages 389-432, May.
  11. Marco Ottaviani & Peter Sorensen, 1999. "Professional Advice," Game Theory and Information, EconWPA 9906003, EconWPA.
  12. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  13. Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers, Financial Markets Group dp401, Financial Markets Group.
  14. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, Econometric Society, vol. 50(5), pages 1163-81, September.
  15. Stephen Morris & Franklin Allen & Hyun Song Shin, 2004. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Yale School of Management Working Papers, Yale School of Management ysm346, Yale School of Management.
  16. Prat, Andrea, 2003. "The Wrong Kind of Transparency," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3859, C.E.P.R. Discussion Papers.
  17. Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
  18. Banerjee, Abhijit V, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(3), pages 797-817, August.
  19. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, American Economic Association, vol. 80(3), pages 465-79, June.
  20. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, Elsevier, vol. 26(1), pages 17-27, February.
  21. Franklin Allen, 2001. "Do Financial Institutions Matter?," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 01-04, Wharton School Center for Financial Institutions, University of Pennsylvania.
  22. Dow, James & Gorton, Gary, 1997. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 105(5), pages 1024-50, October.
  23. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  24. Franklin Allen & Stephen Morris & Andrew Postlewaite, . "Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 16-92, Wharton School Rodney L. White Center for Financial Research.
  25. Avery, Christopher & Zemsky, Peter, 1998. "Multidimensional Uncertainty and Herd Behavior in Financial Markets," American Economic Review, American Economic Association, American Economic Association, vol. 88(4), pages 724-48, September.
  26. Allen, Franklin & Gale, Douglas, 2000. "Bubbles and Crises," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 110(460), pages 236-55, January.
  27. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  28. Allen F. & Morris S. & Postlewaite A., 1993. "Finite Bubbles with Short Sale Constraints and Asymmetric Information," Journal of Economic Theory, Elsevier, Elsevier, vol. 61(2), pages 206-229, December.
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Cited by:
  1. Gabriel Desgranges & Celine Rochon, 2008. "Conformism, Public News and Market Effciency," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe16, Oxford Financial Research Centre.
  2. Céline Rochon & Gabriel Desgranges, 2011. "Conformism and Public News," IMF Working Papers 11/33, International Monetary Fund.
  3. Andrew Foerster & Leonardo Martinez, 2006. "Are we working too hard or should we be working harder? A simple model of career concerns," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Win, pages 79-91.
  4. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9142, University Library of Munich, Germany.
  5. Amil Dasgupta & Andrea Prat & Michela Verardo, 2005. "The Price of Conformism," Levine's Bibliography 784828000000000357, UCLA Department of Economics.

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