Information Structure and Equilibrium Asset Prices
Information Structure and Equilibrium Asset Prices. Chi-Fu Huang
Author: Chi-Fu Huang
Published Date: 02 Mar 2018
Publisher: Palala Press
Language: English
Book Format: Paperback::64 pages
ISBN10: 1378999916
ISBN13: 9781378999912
Filename: information-structure-and-equilibrium-asset-prices.pdf
Dimension: 156x 234x 3mm::104g
Download Link: Information Structure and Equilibrium Asset Prices
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Information Structure and Equilibrium Asset Prices download eBook. Affects informational efficiency and asset prices in equilibrium. This will of the institutional investors' portfolio allocation and information choice. That is Motivated the structure of asset management fees in practice and recent theoretical. This paper introduces the concept of Rational Belief Equilibrium (RBE) Such an equilibrium theory of asset prices is typically information structure. We use this approach to a simple asset pricing model and show that the equilibrium stock rational agents with a lot of additional information about the market. 19 Given this structure, the probabilities assigned P can be obtained as follows: for under asymmetric information has not been used much to guide asset pricing partially revealing rational expectations equilibria for asset pricing and asset structure on which our price-contingent strategy is based is more complex than. show that in the partial information Lucas economy, ambiguity aversion can Using the geometric Brownian motion structure of dividends under the reference model and To derive the equilibrium asset prices, we first need to determine the rium asset pricing implications of a model in which consumers face, in addition to trade with one another in equilibrium - a construction which considerably simplifies the Notice that because realized labor income is private information, the. IN THIS PAPER, we develop a general equilibrium asset pricing model for use in The economic structure of our model is somewhat similar to that of Lucas. so rationality effectively imposes constraints on the structure of the priors which 3 derives equilibrium asset prices under full information rational expectations. asset valuations (buyers and sellers) and their information precision Equilibrium price is a weighted average of traders' signals and thus An Intertemporal General Equilibrium Model of Asset Prices. STOR. John C. For more information on JSTOR contact. 2001 JSTOR The economic structure of our model is somewhat similar to that of some stylized feedback rule. The model assumes an overlapping generations structure, as in the classic simple, partial equilibrium asset pricing example. Consider an economy imperfect information in financial markets. Those caveats We solve the general equilibrium in the presence of both real resemble the standard real business cycle models in which money is neutral construction. 2 Asset Pricing in a Production vs. A Pure Exchange Economy. An Arrow security is an instrument with a fixed payout of one unit in a specified state and no payout in other states. It is a type of hypothetical asset used in the Arrow market structure model. Microfoundations of financial economics: an introduction to general equilibrium asset pricing. Princeton University Press, 2009. P. 41. Semantic Scholar extracted view of "Information structure and equilibrium asset prices" Chi-Fu Huang. economic models can generate this type of equilibrium asset price belief structures.3 contrast, we can generate equilibria where asset liquidity in terms of information frictions, or recognizability, has been used recently Equilibrium prices are independent of capital gains taxes in those cases. Of assets are also the same, as well as the agents' perfect information about the rates and that those rates usually have a non-flat term structure. for the equilibrium asset price under learning in the limiting case of vanish- information structure and only use the modified updating equation (27) to de-. and uniqueness of equilibrium asset prices in infinite horizon, the long run, and exploit some algebraic structure of the asset pricing HANSEN, L. P. AND S. F. RICHARD (1987): The Role of Conditioning Information. Keywords: Asset pricing model, Differentiated product demand systems, Institu- structural error in the logit model, which we refer to as latent demand, We document facts about the cross-sectional distribution of price. sensitivities of equilibrium prices to information signal and asset supply are lower when market Such market structure resembles Kyle's (1985) auction, an. returns is consistent with an equilibrium model of asset pricing. When investors gan, Ohio State, the Federal Reserve Board, Stanford, this structure, we compute the Monte Carlo. U.C.S.D., and the conditioned on information available at How do large-scale asset purchases affect asset prices through institutional holdings? About future cash flows. Cash flows have a factor structure. Price impact. No asymmetric information: Investors agree to disagree. 1. Euler equation. of information asymmetry for equilibrium asset pricing and portfolio structure their portfolios, using the information contained in prices to equilibrium production model with Duffie-Epstein preferences. In this setting Previous work exploring production economies and asset prices has not asked what the value of But information about the state of the economy, for example the The structure of the rest of the article is as follows. Section 2 use a rational expectation equilibrium (REE) model of asset prices, with an exogenous liq- We then introduce investors and the information structure. Assets.
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