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Liquidity and asset prices in rational expectations equilibrium with ambiguous information

Citations

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Cited by:

  1. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, July-Dece.
  2. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  3. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Revue économique, Presses de Sciences-Po, vol. 71(2), pages 267-282.
  4. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
  5. repec:esx:essedp:719 is not listed on IDEAS
  6. König-Kersting, Christian & Kops, Christopher & Trautmann, Stefan T., 2023. "A test of (weak) certainty independence," Journal of Economic Theory, Elsevier, vol. 209(C).
  7. Brishti Guha, 2012. "Gambling on Genes: Ambiguity Aversion Explains Investment in Sisters’ Children," Working Papers 33-2012, Singapore Management University, School of Economics.
  8. Dai, Peng-Fei & Xiong, Xiong & Duc Huynh, Toan Luu & Wang, Jiqiang, 2022. "The impact of economic policy uncertainties on the volatility of European carbon market," Journal of Commodity Markets, Elsevier, vol. 26(C).
  9. repec:esx:essedp:770 is not listed on IDEAS
  10. Jeleva, Meglena & Tallon, Jean-Marc, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
  11. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 1-35, January.
  12. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  13. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
  14. Fujii, Tomoki, 2017. "Dynamic Poverty Decomposition Analysis: An Application to the Philippines," World Development, Elsevier, vol. 100(C), pages 69-84.
  15. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
  16. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 243-273, October.
  17. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
  18. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.
  19. Scott Condie & Jayant V. Ganguli, 2011. "Ambiguity and Rational Expectations Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(3), pages 821-845.
  20. Luciano I. de Castro & Marialaura Pesce & Nicholas C. Yannelis, 2013. "A New Perspective on Rational Expectations," Economics Discussion Paper Series 1316, Economics, The University of Manchester.
  21. Rehse, Dominik & Riordan, Ryan & Rottke, Nico & Zietz, Joachim, 2019. "The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy," Journal of Financial Economics, Elsevier, vol. 134(2), pages 318-332.
  22. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
  23. Maria Näther, 2019. "The effect of the central bank’s standing facilities on interbank lending and bank liquidity holding," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 537-577, October.
  24. John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011. "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 275-288, October.
  25. Vitale, Paolo, 2018. "Robust trading for ambiguity-averse insiders," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 113-130.
  26. Xiaojuan Hu & Cheng-Zhong Qin, 2013. "Information acquisition and welfare effect in a model of competitive financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 199-210, September.
  27. Michele Lombardi & Naoki Yoshihara, 2013. "A full characterization of nash implementation with strategy space reduction," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 131-151, September.
  28. Anuj Bhowmik & Jiling Cao, 2013. "On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(3), pages 537-560, August.
  29. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
  30. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
  31. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
  32. Bhowmik, Anuj & Cao, Jiling, 2013. "Robust efficiency in mixed economies with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 49-57.
  33. M. Peiris & Alexandros Vardoulakis, 2013. "Savings and default," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 153-180, September.
  34. Koziol, Christian & Proelss, Juliane & Roßmann, Philipp & Schweizer, Denis, 2022. "The price of being green," Finance Research Letters, Elsevier, vol. 50(C).
  35. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  36. Aliyev, Nihad & He, Xue-Zhong, 2023. "Ambiguous price formation," Journal of Mathematical Economics, Elsevier, vol. 106(C).
  37. Luciano Castro & Marialaura Pesce & Nicholas Yannelis, 2011. "Core and equilibria under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 519-548, October.
  38. Li, Qingyuan & Li, Si & Xu, Li, 2018. "National elections and tail risk: International evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 113-128.
  39. Illeditsch, PK & Ganguli, J & Condie, S, 2015. "Information Inertia," Economics Discussion Papers 15615, University of Essex, Department of Economics.
  40. Bhowmik, Anuj & Cao, Jiling, 2012. "Blocking efficiency in an economy with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 396-403.
  41. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
  42. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  43. Antonio Mele & Francesco Sangiorgi, 2015. "Uncertainty, Information Acquisition, and Price Swings in Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1533-1567.
  44. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
  45. Eisei Ohtaki & Hiroyuki Ozaki, 2015. "Monetary equilibria and Knightian uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 435-459, August.
  46. Mele, Antonio & Sangiorgi, Francesco, 2009. "Ambiguity, information acquisition and price swings in asset markets," LSE Research Online Documents on Economics 24424, London School of Economics and Political Science, LSE Library.
  47. repec:esx:essedp:720 is not listed on IDEAS
  48. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
  49. Nihad Aliyev & Xue-Zhong He, 2017. "Ambiguous Market Making," Research Paper Series 383, Quantitative Finance Research Centre, University of Technology, Sydney.
  50. Junyong He & Helen Hui Huang & Shunming Zhang, 2020. "Ambiguity Aversion, Information Acquisition, and Market Opacity," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 263-329, November.
  51. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  52. Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
  53. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
  54. Ouzan, Samuel, 2020. "Loss aversion and market crashes," Economic Modelling, Elsevier, vol. 92(C), pages 70-86.
  55. Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
  56. Yongmin Zhang & Shusheng Ding & Meryem Duygun, 2019. "Derivatives pricing with liquidity risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1471-1485, November.
  57. Dang, Man & Puwanenthiren, Premkanth & Thai, Hong An & Mazur, Mieszko & Jones, Edward & Vo, Xuan Vinh, 2021. "Policy uncertainty and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, vol. 77(C).
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