| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3310 |
| DP3310 Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion | |
| Giancarlo Corsetti; Marcello Pericoli; Massimo Sbracia | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information. When the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports, equilibrium prices can be given a simple characterization in terms of the concatenation of binomial pricing trees. There are a number of empirical implications. The theory predicts that the return variance following a poor disclosed outcome is higher than it would have been if the disclosed outcome were good. Also, when investors are risk averse, this leads to negative serial correlation of asset returns. Other points of contact with the empirical literature are discussed. |
| 主题 | Financial Economics |
| 关键词 | Disclosure games Residual uncertainty Binomial trees |
| URL | https://cepr.org/publications/dp3310 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532336 |
| 推荐引用方式 GB/T 7714 | Giancarlo Corsetti,Marcello Pericoli,Massimo Sbracia. DP3310 Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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