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Asset pricing in large information networks

Citations

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Cited by:

  1. Han, Rui-Qi & Li, Ming-Xia & Chen, Wei & Zhou, Wei-Xing & Stanley, H. Eugene, 2019. "Structural properties of statistically validated empirical information networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 747-756.
  2. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215750, HAL.
  3. Arrondel, Luc & Calvo-Pardo, Hector & Giannitsarou, Chryssi & Haliassos, Michael, 2022. "Informative social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 246-263.
  4. Erol Akçay & David Hirshleifer, 2021. "Social finance as cultural evolution, transmission bias, and market dynamics," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(26), pages 2015568118-, June.
  5. Cujean, Julien, 2020. "Idea sharing and the performance of mutual funds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 88-119.
  6. Dakshina Garfield De Silva & Marina Gertsberg & Georgia Kosmopoulou & Rachel Pownall, 2017. "Dealer Networks in the World of Art," Working Papers 198144199, Lancaster University Management School, Economics Department.
  7. Lou, Youcheng & Yang, Yaqing, 2023. "Information linkages in a financial market with imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
  8. Son, Bumho & Lee, Jaewook, 2022. "Graph-based multi-factor asset pricing model," Finance Research Letters, Elsevier, vol. 44(C).
  9. Xiaoran Huang & Zheng Qiao & Lei Zhang, 2021. "The real effects of institutional spatial concentration," Financial Management, Financial Management Association International, vol. 50(4), pages 1113-1167, December.
  10. Tinic, Murat & Sensoy, Ahmet & Demir, Muge & Nguyen, Duc Khuong, 2020. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," MPRA Paper 104719, University Library of Munich, Germany.
  11. Kondor, Péter & Babus, Ana, 2013. "Trading and information diffusion in OTC markets," CEPR Discussion Papers 9271, C.E.P.R. Discussion Papers.
  12. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2012. "Structural Distortions in the Euro Interbank Market: The Role of 'Key Players' during the Recent Market Turmoil," Working Paper series 57_12, Rimini Centre for Economic Analysis.
  13. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
  14. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.
  15. Garcia, Daniel, 2012. "Communication and Information Acquisition in Networks," MPRA Paper 55481, University Library of Munich, Germany, revised 24 Apr 2014.
  16. Ana Babus & Péter Kondor, 2018. "Trading and Information Diffusion in Over‐the‐Counter Markets," Econometrica, Econometric Society, vol. 86(5), pages 1727-1769, September.
  17. Yang, Yaqing & Lou, Youcheng, 2024. "Information sharing in a perfectly competitive market," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  18. Edward Halim & Yohanes E. Riyanto & Nilanjan Roy, 2019. "Costly Information Acquisition, Social Networks, and Asset Prices: Experimental Evidence," Journal of Finance, American Finance Association, vol. 74(4), pages 1975-2010, August.
  19. Goyal, S., 2016. "Networks and Markets," Cambridge Working Papers in Economics 1652, Faculty of Economics, University of Cambridge.
  20. Yuri Biondi & Simone Righi, 2013. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers 1312.7460, arXiv.org.
  21. Ding, Jing & Fang, Libing & Chen, Shi, 2020. "Mitigating free riding in social networks: The impact of underestimating others’ ability in financial market," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 582-599.
  22. Xu, Weijun & Pan, Shiliang & Ji, Yucheng & Zhao, Qi, 2023. "Public disclosure with information sharing in financial market," Finance Research Letters, Elsevier, vol. 53(C).
  23. Sanjeev Goyal, 2015. "Networks in Economics: A Perspective on the Literature," Cambridge Working Papers in Economics 1548, Faculty of Economics, University of Cambridge.
  24. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
  25. Hongwei Chuang, 2015. "Correlation Persistence in Financial Markets: A Network Theory Approach," DSSR Discussion Papers 33, Graduate School of Economics and Management, Tohoku University.
  26. Huan Liu & Weiqi Liu & Yi Li, 2022. "Private Information Dissemination and Noise Trading: Implications for Price Efficiency and Market Liquidity," Sustainability, MDPI, vol. 14(18), pages 1-19, September.
  27. Bing Han & Liyan Yang, 2013. "Social Networks, Information Acquisition, and Asset Prices," Management Science, INFORMS, vol. 59(6), pages 1444-1457, June.
  28. De Silva, Dakshina G. & Gertsberg, Marina & Kosmopoulou, Georgia & Pownall, Rachel A.J., 2022. "Evolution of a dealer trading network and its effects on art auction prices," European Economic Review, Elsevier, vol. 144(C).
  29. Wang, Wentao & Zhao, Shangmei & Zhang, Junhuan, 2022. "Multi-asset pricing modeling using holding-based networks in energy markets," Finance Research Letters, Elsevier, vol. 46(PB).
  30. Lou, Youcheng & Parsa, Sahar & Ray, Debraj & Li, Duan & Wang, Shouyang, 2019. "Information aggregation in a financial market with general signal structure," Journal of Economic Theory, Elsevier, vol. 183(C), pages 594-624.
  31. Jia-Ping Huang & Yang Zhang & Juanxi Wang, 2023. "Dynamic effects of social influence on asset prices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 671-699, July.
  32. Ahern, Kenneth R., 2017. "Information networks: Evidence from illegal insider trading tips," Journal of Financial Economics, Elsevier, vol. 125(1), pages 26-47.
  33. Grullon, Gustavo & Underwood, Shane & Weston, James P., 2014. "Comovement and investment banking networks," Journal of Financial Economics, Elsevier, vol. 113(1), pages 73-89.
  34. Itay P. Fainmesser, 2012. "Community Structure and Market Outcomes: A Repeated Games-in-Networks Approach," American Economic Journal: Microeconomics, American Economic Association, vol. 4(1), pages 32-69, February.
  35. Chung, San-Lin & Liu, Wenchien & Liu, Wen-Rang & Tseng, Kevin, 2018. "Investor network: Implications for information diffusion and asset prices," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 186-209.
  36. Giovannetti, Andrea & Pipic, Denis, 2023. "Shaking hands with common foes: Clique premium and information diffusion in private equity networks," International Review of Financial Analysis, Elsevier, vol. 86(C).
  37. Matthew Oldham, 2019. "Understanding How Short-Termism and a Dynamic Investor Network Affects Investor Returns: An Agent-Based Perspective," Complexity, Hindawi, vol. 2019, pages 1-21, July.
  38. Dulani Jayasuriya & Ben O’Neill, 2021. "Social Media’s Impact on the Global Mergers and Acquisitions Market," JRFM, MDPI, vol. 14(4), pages 1-41, April.
  39. Chuang, Hongwei, 2015. "Volatility persistence in stock market," Economics Letters, Elsevier, vol. 133(C), pages 64-67.
  40. Ana Babus, 2011. "Strategic Relationships in Over-the-Counter Markets," 2011 Meeting Papers 1405, Society for Economic Dynamics.
  41. Lou, Youcheng & Wang, Shouyang, 2020. "A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 119-126.
  42. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015. "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 427-455, September.
  43. John Garcia, 2021. "Analyst herding and firm-level investor sentiment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 461-494, December.
  44. Rossi, Alberto G. & Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2018. "Network centrality and delegated investment performance," Journal of Financial Economics, Elsevier, vol. 128(1), pages 183-206.
  45. Wang, Wentao & Zhang, Junhuan & Zhao, Shangmei & Zhang, Yanglin, 2019. "Simulation of asset pricing in information networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 620-634.
  46. Xiaoying Zhai & Huiping Ma & Yongmin Zhang, 2022. "Can high-performance funds be built and managed by improving their network locations? –- evidence from entrepreneurship in Chinese fund managers," International Entrepreneurship and Management Journal, Springer, vol. 18(1), pages 383-407, March.
  47. Cujean, Julien, 2018. "Idea Sharing and the Performance of Mutual Funds," CEPR Discussion Papers 13111, C.E.P.R. Discussion Papers.
  48. Ding, Haoyuan & Jin, Yuying & Liu, Ziyuan & Xie, Wenjing, 2019. "The relationship between international trade and capital flow: A network perspective," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 1-11.
  49. Baltakienė, Margarita & Kanniainen, Juho & Baltakys, Kęstutis, 2021. "Identification of information networks in stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  50. Aloosh, Arash & Choi, Hyung-Eun & Ouzan, Samuel, 2023. "The tail wagging the dog: How do meme stocks affect market efficiency?," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 68-78.
  51. Luo, Ronghua & Zhao, Senyang & Zhou, Jing, 2023. "Information network, public disclosure and asset prices," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  52. Babus, Ana & Hu, Tai-Wei, 2017. "Endogenous intermediation in over-the-counter markets," Journal of Financial Economics, Elsevier, vol. 125(1), pages 200-215.
  53. Simone Alfarano & Albert Banal-Estañol & Eva Camacho & Giulia Iori & Burcu Kapar & Rohit Rahi, 2024. "Centralized vs Decentralized Markets: The Role of Connectivity," Working Papers 1420, Barcelona School of Economics.
  54. Pedersen, Lasse Heje, 2022. "Game on: Social networks and markets," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1097-1119.
  55. Tang, Ya, 2014. "Information disclosure and price discovery," Journal of Financial Markets, Elsevier, vol. 19(C), pages 39-61.
  56. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
  57. Jihwan Do & Lining Han & Xiaoxi Li, 2024. "Information Sale on Network," Papers 2404.05546, arXiv.org.
  58. Liyan Yang & Itay Goldstein, 2014. "Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects," 2014 Meeting Papers 154, Society for Economic Dynamics.
  59. Li, Jie & Zhang, Yongjie & Wang, Lidan, 2021. "Information transmission between large shareholders and stock volatility," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  60. Lou, Youcheng & Wang, Shouyang, 2021. "The equivalence of two rational expectations equilibrium economies with different approaches to processing neighbors’ information," Mathematical Social Sciences, Elsevier, vol. 109(C), pages 93-105.
  61. Manela, Asaf, 2014. "The value of diffusing information," Journal of Financial Economics, Elsevier, vol. 111(1), pages 181-199.
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