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`J'-shaped returns to timing advantage in access to information - Experimental evidence and a tentative explanation

  • Huber, Jurgen
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 8 (August)
    Pages: 2536-2572

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:8:p:2536-2572
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    1. Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414, June.
    2. Figlewski, Stephen, 1982. " Information Diversity and Market Behavior," Journal of Finance, American Finance Association, vol. 37(1), pages 87-102, March.
    3. Copeland, Thomas E & Friedman, Daniel, 1992. "The Market Value of Information: Some Experimental Results," The Journal of Business, University of Chicago Press, vol. 65(2), pages 241-66, April.
    4. Sunder, S., 1989. "Market For Information: Experimental Evidence," GSIA Working Papers 88-89-53, Carnegie Mellon University, Tepper School of Business.
    5. Gilles Teyssière & Alan Kirman, 2001. "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001 5A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    6. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
    7. Hellwig, Martin F., 1982. "Rational expectations equilibrium with conditioning on past prices: A mean-variance example," Journal of Economic Theory, Elsevier, vol. 26(2), pages 279-312, April.
    8. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    10. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    11. repec:att:wimass:9621 is not listed on IDEAS
    12. Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
    13. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
    14. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    15. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    16. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    17. R. Mark Isaac & Duncan James, 2000. "Asset Markets: How They Are Affected by Tournament Incentives for Individuals," American Economic Review, American Economic Association, vol. 90(4), pages 995-1004, September.
    18. Hans Gersbach, 2000. "Public information and social choice," Social Choice and Welfare, Springer, vol. 17(1), pages 25-31.
    19. Plott, Charles R. & Sunder, Shyam., . "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational Expectations Models," Working Papers 331, California Institute of Technology, Division of the Humanities and Social Sciences.
    20. Huber, Jurgen & Kirchler, Michael & Sutter, Matthias, 2008. "Is more information always better: Experimental financial markets with cumulative information," Journal of Economic Behavior & Organization, Elsevier, vol. 65(1), pages 86-104, January.
    21. Youssefmir, Michael & Huberman, Bernardo A., 1997. "Clustered volatility in multiagent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 101-118, January.
    22. Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10.
    23. Hans Gersbach, 2000. "Size and distributional uncertainty, public information and the information paradox," Social Choice and Welfare, Springer, vol. 17(2), pages 241-246.
    24. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2002. "Market behavior in the presence of divergent and imperfect private information: experimental evidence from Canada, China, and the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 47(4), pages 435-450, April.
    25. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
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