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Information Based Trade

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  • Hulya Eraslan

    (University of Pennsylvania)

  • Philip Bond

    (University of Pennsylvania)

Abstract

about market betas.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 1012.

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Date of creation: 2008
Date of revision:
Handle: RePEc:red:sed008:1012

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
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Web page: http://www.EconomicDynamics.org/society.htm
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References

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  1. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, Elsevier, vol. 26(1), pages 17-27, February.
  2. Nielsen, Lars Tyge, 1995. "Common Knowledge of a Multivariate Aggregate Statistic," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(1), pages 207-16, February.
  3. James Dow & Gary Gorton, . "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 19-94, Wharton School Rodney L. White Center for Financial Research.
  4. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 109-126, March.
  5. Morris, Stephen, 1994. "Trade with Heterogeneous Prior Beliefs and Asymmetric Information," Econometrica, Econometric Society, Econometric Society, vol. 62(6), pages 1327-47, November.
  6. Philip Bond & Itay Goldstein & Edward Simpson Prescott, 2010. "Market-Based Corrective Actions," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(2), pages 781-820, February.
  7. Marin, Jose M & Rahi, Rohit, 2000. "Information Revelation and Market Incompleteness," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 67(3), pages 563-79, July.
  8. repec:bla:restud:v:75:y:2008:i:1:p:133-164 is not listed on IDEAS
  9. Rubinstein, Ariel & Wolinsky, Asher, 1990. "On the logic of "agreeing to disagree" type results," Journal of Economic Theory, Elsevier, Elsevier, vol. 51(1), pages 184-193, June.
  10. Bengt Holmstrom & Roger B. Myerson, 1981. "Efficient and Durable Decision Rules with Incomplete Information," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 495, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  11. Dow James & Gorton Gary, 1995. "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing," Journal of Economic Theory, Elsevier, Elsevier, vol. 67(2), pages 327-369, December.
  12. Art Durnev & Randall Morck & Bernard Yeung, 2004. "Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation," Journal of Finance, American Finance Association, American Finance Association, vol. 59(1), pages 65-105, 02.
  13. Raymond Deneckere & Meng-Yu Liang, 2006. "Bargaining with Interdependent Values," Econometrica, Econometric Society, Econometric Society, vol. 74(5), pages 1309-1364, 09.
  14. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 71-100, March.
  15. Matthew O. Jackson & James Peck, 1997. "Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations," Microeconomics, EconWPA 9711004, EconWPA.
  16. Wang, Jiang, 1993. "A Model of Intertemporal Asset Prices under Asymmetric Information," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 60(2), pages 249-82, April.
  17. Itay Goldstein & Alexander Guembel, 2008. "Manipulation and the Allocational Role of Prices," Review of Economic Studies, Oxford University Press, vol. 75(1), pages 133-164.
  18. Dasgupta, Amil & Prat, Andrea, 2008. "Information aggregation in financial markets with career concerns," Journal of Economic Theory, Elsevier, Elsevier, vol. 143(1), pages 83-113, November.
  19. Beth Allen & James S. Jordan, 1998. "The existence of rational expectations equilibrium: a retrospective," Staff Report, Federal Reserve Bank of Minneapolis 252, Federal Reserve Bank of Minneapolis.
  20. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  21. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, American Economic Association, vol. 61(4), pages 561-74, September.
  22. James Dow & Itay Goldstein & Alexander Guembel, 2005. "Commitment to Overinvest and Price Informativeness," OFRC Working Papers Series, Oxford Financial Research Centre 2005fe18, Oxford Financial Research Centre.
  23. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, American Economic Association, vol. 70(3), pages 393-408, June.
  24. Evans, Robert, 1989. "Sequential Bargaining with Correlated Values," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(4), pages 499-510, October.
  25. Biais, Bruno & Bossaerts, Peter, 1998. "Asset Prices and Trading Volume in a Beauty Contest," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 65(2), pages 307-40, April.
  26. Vincent, Daniel R., 1989. "Bargaining with common values," Journal of Economic Theory, Elsevier, Elsevier, vol. 48(1), pages 47-62, June.
  27. Vishny, Robert W. & Bhagat, Sanjai & Shleifer, Andrei, 1990. "Hostile Takeovers in the 1980s: The Return to Corporate Specialization," Scholarly Articles 8705861, Harvard University Department of Economics.
  28. James Dow & Rohit Rahi, 1996. "Informed Trading, Investment and Welfare," Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics 029, Birkbeck, Department of Economics, Mathematics & Statistics.
  29. Schweizer, Urs, 1989. "Litigation and Settlement under Two-Sided Incomplete Information," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(2), pages 163-77, April.
  30. repec:reg:wpaper:161 is not listed on IDEAS
  31. Avanidhar Subrahmanyam & Sheridan Titman, 1999. "The Going-Public Decision and the Development of Financial Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 54(3), pages 1045-1082, 06.
  32. Drew Fudenberg & David K Levine, 2005. "Learning and Belief-Based Trade," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 199-208.
  33. Kreps, David M., 1977. "A note on "fulfilled expectations" equilibria," Journal of Economic Theory, Elsevier, Elsevier, vol. 14(1), pages 32-43, February.
  34. Foster, F Douglas & Viswanathan, S, 1996. " Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, American Finance Association, vol. 51(4), pages 1437-78, September.
  35. Halevy, Yoram, 2004. "The possibility of speculative trade between dynamically consistent agents," Games and Economic Behavior, Elsevier, Elsevier, vol. 46(1), pages 189-198, January.
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Citations

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Cited by:
  1. Alp Atakan & Mehmet Ekmekci, 2012. "Auctions, Actions, and the Failure of Information Aggregation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1553, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Philip Bond & Itay Goldstein & Edward S. Prescott, 2006. "Market-based regulation and the informational content of prices," Working Paper, Federal Reserve Bank of Richmond 06-12, Federal Reserve Bank of Richmond.
  3. Itay Goldstein & Philip Bond, 2012. "Government intervention and information aggregation by prices," 2012 Meeting Papers, Society for Economic Dynamics 225, Society for Economic Dynamics.

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