Information Markets and the Comovement of Asset Prices

DOI10.1111/J.1467-937X.2006.00397.XMaRDI QIDQ5488501zbMATH OpenOpenAlexFDO

Authors Laura L. Veldkamp

Publication date 22 September 2006

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2006.00397.x

Mathematics Subject Classification ID

Economics of information (91B44)

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Cited in

(24)

• Asset prices in segmented and integrated markets
• Capital mobility and asset pricing
• Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
• On equilibrium existence in a finite-agent, multi-asset noisy rational expectations economy
• Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity
• Dynamic information acquisition and time-varying uncertainty
• The tradeoff between risk sharing and information production in financial markets
• Common factors, information, and holdings dispersion
• Media connection and return comovement
• Stock prices and the risk-free rate: an internal rationality approach
• The time cost of information in financial markets
• The negative value of private information in illiquid markets
• Information and asset prices in complete markets exchange economies
• Excess covariance and dynamic instability in a multi-asset model
• News media and delegated information choice
• Private information and sunspots in sequential asset markets
• Portfolio choice, attention allocation, and price comovement
• Directed attention and nonparametric learning
• Asset markets and the information revealed by prices
• Information acquisition, price informativeness, and welfare
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
• Information spillover in markets with heterogeneous traders
• The information content of lagged equity and bond yields
• Strategic complementarity of information in financial markets with large shocks

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