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Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry

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Cited by:

  1. repec:cpr:ceprdp:14153 is not listed on IDEAS
  2. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
  3. Sato, Yuki, 2016. "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, vol. 165(C), pages 360-389.
  4. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2014. "Dynamic Dispersed Information and the Credit Spread Puzzle," 2014 Meeting Papers 808, Society for Economic Dynamics.
  6. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
  7. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
  8. Rosen Valchev, 2017. "Dynamic Information Acquisition and Portfolio Bias," Boston College Working Papers in Economics 941, Boston College Department of Economics.
  9. Rosen Valchev, 2017. "Dynamic Information Acquisition and Home Bias in Portfolios," 2017 Meeting Papers 1486, Society for Economic Dynamics.
  10. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Insider Trading, Stochastic Liquidity and Equilibrium Prices," NBER Working Papers 18451, National Bureau of Economic Research, Inc.
  11. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
  12. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
  13. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  14. Peress, Jo�l & Schmidt, Daniel, 2017. "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers 12434, C.E.P.R. Discussion Papers.
  15. Yun Wang & Renhai Hua & Zongcheng Zhang, 2011. "The investor behavior and futures market volatility: A theory and empirical study based on the OLG model and high-frequency data," China Finance Review International, Emerald Group Publishing, vol. 1(4), pages 388-407, September.
  16. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2011. "A Theory of Asset Prices Based on Heterogeneous Information," Cowles Foundation Discussion Papers 1827, Cowles Foundation for Research in Economics, Yale University.
  17. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
  18. Giovanni Cespa & Xavier Vives, 2011. "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series 3390, CESifo Group Munich.
  19. Yung-Ching Tseng & Wo-Chiang Lee, 2016. "Investor Sentiment and ETF Liquidity - Evidence from Asia Markets," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 6(1), pages 1-5.
  20. Cai, Zhifeng, 2019. "Dynamic information acquisition and time-varying uncertainty," Journal of Economic Theory, Elsevier, vol. 184(C).
  21. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  22. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  23. Xue-Zhong He & Lei Shi, 2012. "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series 303, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Lin, Tse-Chun & Lu, Xiaolong, 2015. "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 17-28.
  25. Dutta, Sunil & Nezlobin, Alexander, 2017. "Information disclosure, firm growth, and the cost of capital," Journal of Financial Economics, Elsevier, vol. 123(2), pages 415-431.
  26. repec:esx:essedp:720 is not listed on IDEAS
  27. Giovanni Cespa & Xavier Vives, 2011. "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series 3390, CESifo Group Munich.
  28. Albagli, Elias, 2015. "Investment horizons and asset prices under asymmetric information," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 787-837.
  29. Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
  30. Elías Albagli, 2013. "Investment Horizons and Asset Prices under Asymmetric Information," Working Papers Central Bank of Chile 709, Central Bank of Chile.
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