Markus K. Brunnermeier. Asset Pricing under Asymmetric Information

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добавлен 28 января 2010 г.

Bubbles, Crashes, Technical Analysis, and Herding.
Great Clarendon Street, Oxford First published 2001.
Contents.
list of figures ix.
Preface xi.
nformation, Equilibrium, and Efficiency Concepts.
Modeling Information.
Rational Expectations Equilibrium and.
Bayesian Nash Equilibrium.
Rational Expectations Equilibrium.
Bayesian Nash Equilibrium.
Allocative and Informational Efficiency.
No-Trade Theorems, Competitive Asset Pricing, Bubbles.
No-Trade Theorems.
Competitive Asset Prices and Market Completeness.
Static Two-Period Models.
Dynamic Models – Complete Equitization versus.
Dynamic Completeness.
Bubbles.
Growth Bubbles under Symmetric Information.
nformation Bubbles.
Classification of Market Microstructure Models.
Simultaneous Demand Schedule Models.
Competitive Ree.
strategic Share Auctions.
Sequential Move Models.
Screening Models `a la Glosten.
Sequential Trade Models `a la Glosten and Milgrom.
Kyle-Models and Signaling Models.
Dynamic Trading Models, Technical Analysis, and.
the Role of Trading Volume.
Technical Analysis – Inferring Information.
from Past Prices.
Technical Analysis – Evaluating New Information.
Technical Analysis about Fundamental Value.
Contents.
Serial Correlation Induced by Leaing and the.
nfinite Regress Problem.
Competitive Multiperiod Models.
nferring Information from Trading Volume in a.
Competitive Market Order Model.
Strategic Multiperiod Market Order Models.
with a Market Maker.
Herding and Informational Cascades.
Herding due to Payoff Extealities.
Herding due to Information Extealities.
Exogenous Sequencing.
Endogenous Sequencing, Real Options,
and Strategic Delay.
Reputational Herding and Anti-herding in.
Reputational Principal–Agent Models.
Exogenous Sequencing.
Endogenous Sequencing.
Herding in Finance, Stock Market Crashes, Frenzies,
and Bank Runs.
Stock Market Crashes.
Crashes in Competitive Ree models.
Crashes in Sequential Trade Models.
Crashes and Frenzies in Auctions and War of.
Attrition Games.
Keynes’ Beauty Contest, Investigative Herding, and.
Limits of Arbitrage.
Unwinding due to Short Horizons.
Unwinding due to Risk Aversion in.
ncomplete Markets Settings.
Unwinding due to Principal–Agent Problems.
Firms’ Short-Termism.
Bank Runs and Financial Crisis.
References.
Index.

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