Asset price volatility and trading volume with rational beliefs
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Samet, Dov, 1998. "Common Priors and Separation of Convex Sets," Games and Economic Behavior, Elsevier, vol. 24(1-2), pages 172-174, July.
- Maxwell B. Stinchcombe, 1997. "Countably Additive Subjective Probabilities," Review of Economic Studies, Oxford University Press, vol. 64(1), pages 125-146.
- Heifetz, Aviad, 2006. "The positive foundation of the common prior assumption," Games and Economic Behavior, Elsevier, vol. 56(1), pages 105-120, July.
- Samet, Dov, 1992. "Agreeing to Disagree in Infinite Information Structures," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(2), pages 213-218.
- Feinberg, Yossi, 2000. "Characterizing Common Priors in the Form of Posteriors," Journal of Economic Theory, Elsevier, vol. 91(2), pages 127-179, April.
- Morris, Stephen, 1995. "The Common Prior Assumption in Economic Theory," Economics and Philosophy, Cambridge University Press, vol. 11(02), pages 227-253, October.
- Geanakoplos, John, 1994. "Common knowledge," Handbook of Game Theory with Economic Applications,in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 2, chapter 40, pages 1437-1496 Elsevier.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gabriel Desgranges & Céline Rochon, 2013. "Conformism and public news," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(3), pages 1061-1090, April.
- A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
- Carsten Nielsen, 2009. "Non-stationary, stable Markov processes on a continuous state space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 40(3), pages 473-496, September.
- Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
- LaimutÄ— UrbÅ¡ienÄ— & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).
- Wen-Chung Guo & Frank Wang & Ho-Mou Wu, 2011.
"Financial leverage and market volatility with diverse beliefs,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 337-364, June.
- Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu, 2009. "Financial Leverage and Market Volatility with Diverse Beliefs," Finance Working Papers 22887, East Asian Bureau of Economic Research.
- Pierre Monnin, "undated". "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers 202, Institute for Empirical Research in Economics - University of Zurich.
- Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
- Wen-Chung Guo & Sy-Ming Guu & Ting-Yun Chang, 2011. "Equilibrium Information Acquisition, Prediction Abilities and Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 37(1), pages 89-111, January.
- Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014.
"A Welfare Criterion For Models With Distorted Beliefs,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 129(4), pages 1753-1797.
- Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014. "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers 20691, National Bureau of Economic Research, Inc.
- Wei Xiong & Alp Simsek & Markus Brunnermeier, 2014. "A Welfare Criterion for Models with Distorted Beliefs," 2014 Meeting Papers 1418, Society for Economic Dynamics.
- Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
- A. A. Brown, 2009. "Heterogeneous Beliefs with Partial Observations," Papers 0907.4950, arXiv.org.
- Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
- Chichilnisky, Graciela & Wu, Ho-Mou, 2006. "General equilibrium with endogenous uncertainty and default," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 499-524, August.
- Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, July.
- Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
- Agnes Bialecki & Eleonore Haguet & Gabriel Turinici, 2014. "Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions," Post-Print hal-00723189, HAL.
- Fenghua, Wen & Xiaoguang, Yang, 2009. "Empirical study on relationship between persistence-free trading volume and stock return volatility," Global Finance Journal, Elsevier, vol. 20(2), pages 119-127.
- Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).
More about this item
KeywordsPrice volatility; Trading volume; Speculation; Rational beliefs.;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joecth:v:23:y:2004:i:4:p:795-829. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
We have no references for this item. You can help adding them by using this form .