IDEAS home Printed from https://ideas.repec.org/p/cmu/gsiawp/1121368432.html
   My bibliography  Save this paper

"Weight of Money" Pricing and Speculative Dynamics

Author

Abstract

We explore price dynamics in a `cash in the market' asset pricing model, where the price of an asset is the ratio of the amount of cash chasing the asset to the available supply of the asset. Traders base their current trading strategies on their beliefs about future cash inflows/outflows in the market for the asset. These future liquidity flows are in turn the outcome of their future trading strategies. This may generate speculation in the form of self-fulfilling liquidity dry-ups or overflows. In the unique speculative equilibrium, rates of returns exhibit time-series properties such as long series of identically signed returns followed by large reversals, even if the fundamental of the asset follows a random walk.

Suggested Citation

  • Guillaume Plantin & Hyun Shin, "undated". ""Weight of Money" Pricing and Speculative Dynamics," GSIA Working Papers 2005-E46, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:1121368432
    as

    Download full text from publisher

    File URL: http://www.contrib.andrew.cmu.edu/~gplantin/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:cmu:gsiawp:1121368432. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Steve Spear (email available below). General contact details of provider: https://www.cmu.edu/tepper .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.