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Publicité limitée de l'information et sur-réaction aux annonces lors des épisodes spéculatifs

Author

Listed:
  • Camille Cornand

    (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique)

  • Frank Heinemann

    (Faculty of Economics - LMU - Ludwig Maximilian University [Munich] = Ludwig Maximilians Universität München)

Abstract

The model of Morris and Shin [2002] shows that imprecise public announcements can coordinate the actions of speculators far from the fundamental because of over-reaction to announcements. The strong focal potential of common knowledge is welfare damaging when it induces over-reaction to an imprecise public signal. However, laboratory experiments show that agents over-react to announcements, but not as much as what is theoretically predicted in models based on public information that generates common knowledge. This paper introduces the notion of limited degree of publicity, which seems to render better account for the actual degree of agents' over-reaction.

Suggested Citation

  • Camille Cornand & Frank Heinemann, 2006. "Publicité limitée de l'information et sur-réaction aux annonces lors des épisodes spéculatifs," Post-Print halshs-00137477, HAL.
    • Handle: RePEc:hal:journl:halshs-00137477
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00137477
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    References listed on IDEAS

    as
    1. Camille Cornand, 2006. "Speculative Attacks and Informational Structure: an Experimental Study," Review of International Economics, Wiley Blackwell, vol. 14(5), pages 797-817, November.
    2. Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, April.
    3. Dorothea Kübler & Georg Weizsäcker, 2004. "Limited Depth of Reasoning and Failure of Cascade Formation in the Laboratory," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(2), pages 425-441.
    4. Nagel, Rosemarie, 1995. "Unraveling in Guessing Games: An Experimental Study," American Economic Review, American Economic Association, vol. 85(5), pages 1313-1326, December.
    5. Frank Heinemann & Rosemarie Nagel & Peter Ockenfels, 2004. "The Theory of Global Games on Test: Experimental Analysis of Coordination Games with Public and Private Information," Econometrica, Econometric Society, vol. 72(5), pages 1583-1599, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    publicité limitée de l'information; sur-réaction; spéculation;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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