Private Information and Sunspots in Sequential Asset Markets / Jess Benhabib, Pengfei Wang.
Material type:
TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w20044.Publication details: Cambridge, Mass. National Bureau of Economic Research 2014.Description: 1 online resource: illustrations (black and white)Subject(s): - D82 - Asymmetric and Private Information • Mechanism Design
- D83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness
- G12 - Asset Pricing • Trading Volume • Bond Interest Rates
- G14 - Information and Market Efficiency • Event Studies • Insider Trading
- Hardcopy version available to institutional subscribers
| Item type | Home library | Collection | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|
| Working Paper | Biblioteca Digital | Colección NBER | nber w20044 (Browse shelf(Opens below)) | Not For Loan |
April 2014.
We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully revealing rational expectations equilibria, there exists a continuum of equilibrium prices consistent with rational expectations, where the the asset prices are subject to sunspot shocks. Such sunspot shocks can generate persistent fluctuations in asset prices that look like a random walk in an efficient market.
Hardcopy version available to institutional subscribers
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