Expectations, Liquidity, and Short-term Trading
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- Giovanni Cespa & Xavier Vives, 2011. "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series 3390, CESifo.
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More about this item
Keywords
Average expectations; Beauty contest; Expected returns; Multiple equilibria; Over-reliance on public information; High frequency trading; Momentum and reversal; Price crash;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-04-02 (Central Banking)
- NEP-CTA-2011-04-02 (Contract Theory and Applications)
- NEP-MST-2011-04-02 (Market Microstructure)
- NEP-UPT-2011-04-02 (Utility Models and Prospect Theory)
Statistics
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