Abstract : In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.
https://hal-pjse.archives-ouvertes.fr/halshs-00754485
Contributeur : Caroline Bauer
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Soumis le : mardi 20 novembre 2012 - 09:44:01
Dernière modification le : mardi 24 avril 2018 - 17:20:14
Christophe Chamley. Strategic complementarity of information in financial markets with large shocks. Annals of Finance, Springer Verlag, 2010, 6 (1), pp.137-145. 〈10.1007/s10436-009-0130-1〉. 〈halshs-00754485〉
