| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20044 |
| 来源ID | Working Paper 20044 |
| Private Information and Sunspots in Sequential Asset Markets | |
| Jess Benhabib; Pengfei Wang | |
| 发表日期 | 2014-04-10 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20044 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577718 |
| 推荐引用方式 GB/T 7714 | Jess Benhabib,Pengfei Wang. Private Information and Sunspots in Sequential Asset Markets. 2014. |
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