| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6606 |
| DP6606 Do Agglomeration Economies Reduce the Sensitivity of Firm Location to Tax Differentials? | |
| Marius Brülhart; Mario Jametti; Kurt Schmidheiny | |
| 发表日期 | 2007-12-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper provides a dynamic rational expectations equilibrium model in which investors have heterogeneous information and investment opportunities. Informed investors privately receive advance information that is useful for predicting future earnings, but is unrelated to current earnings. This information is immediately partially incorporated into stock prices. In response to good advance information, informed investors act as trend chasers and raise investments in both stocks and nontraded assets, leading them to bear more aggregate risk. This raises the expected risk premium and generates short-run momentum. Uninformed investors act as contrarians and sell stocks. When the advance information materializes in the future, excess returns fall, generating long-run reversals. |
| 主题 | Financial Economics |
| 关键词 | Advance information Momentum and reversal effects Rational expectations equilibrium |
| URL | https://cepr.org/publications/dp6606 |
| 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/535437 |
| 推荐引用方式 GB/T 7714 | Marius Brülhart,Mario Jametti,Kurt Schmidheiny. DP6606 Do Agglomeration Economies Reduce the Sensitivity of Firm Location to Tax Differentials?. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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