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Journal Articles Annals of Finance Year : 2010

Strategic complementarity of information in financial markets with large shocks

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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.

Dates and versions

halshs-00754485 , version 1 (20-11-2012)

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Christophe Chamley. Strategic complementarity of information in financial markets with large shocks. Annals of Finance, 2010, 6 (1), pp.137-145. ⟨10.1007/s10436-009-0130-1⟩. ⟨halshs-00754485⟩
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