Information Markets and the Comovement of Asset Prices
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Publication:5488501
DOI10.1111/J.1467-937X.2006.00397.XzbMATH Open1145.91354OpenAlexW3122323226MaRDI QIDQ5488501FDOQ5488501
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
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- 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
- Media connection and return comovement
- The negative value of private information in illiquid markets
- The time cost of information in financial 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
- Portfolio choice, attention allocation, and price comovement
- Private information and sunspots in sequential asset markets
- Directed attention and nonparametric learning
- Asset markets and the information revealed by prices
- Information acquisition, price informativeness, and welfare
- Information spillover in markets with heterogeneous traders
- Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
- The information content of lagged equity and bond yields
- Strategic complementarity of information in financial markets with large shocks
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