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Strategic complementarity of information in financial markets with large shocks

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  • Christophe Chamley

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Abstract

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Suggested Citation

  • Christophe Chamley, 2010. "Strategic complementarity of information in financial markets with large shocks," Annals of Finance, Springer, vol. 6(1), pages 137-145, January.
  • Handle: RePEc:kap:annfin:v:6:y:2010:i:1:p:137-145
    DOI: 10.1007/s10436-009-0130-1
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    File URL: http://hdl.handle.net/10.1007/s10436-009-0130-1
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    References listed on IDEAS

    as
    1. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    2. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
    3. Chamley, Christophe, 2007. "Complementarities in information acquisition with short-term trades," Theoretical Economics, Econometric Society, vol. 2(4), December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Endogenous information; Strategic complementarity; Financial markets; Aggregation of information; D82; G12; G14;

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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