Asymmetric information and financial markets
Başlık çevirisi mevcut değil.
- Tez No: 402345
- Danışmanlar: DR. ANDREW MCLENNAN, DR. JAN WERNER
- Tez Türü: Doktora
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2004
- Dil: İngilizce
- Üniversite: Unıversıty Of Mınnesota
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
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Özet (Çeviri)
In real-world financial markets, traders constantly communicate and learn from each others' ac-tions. Yet, Standard rational expectations models assume away such social interaction and let traders interact only through the price system. Also, rational expectations models are currently far from giving a completely satisfactory explanation regarding the causes and common features of crashes and fren-zies. This dissertation has two general objectives: (1) to analyze the impacts of social interaction on asset pricing, trading behavior and aggregation of dispersed private information in financial markets, and (2) to account for some common features of crashes and frenzies in stock prices. The first essay of the dissertation proposes a generalized noisy rational expectations model which accommodates social interaction in financial markets. On top of the information conveyed through the price system, each trader infers additional information by observing some of the other traders' security demands. Whom a trader observes is determined by a directed graph that represents the social netvvork. The main contribution of this essay is that it shows social interaction can impair the aggregation of dispersed private information in the price system. The essay also analyzes how the presence of disjoint clusters in a social network can affect portfolio decision-making. In a stylized social network, we shovv that agents located across different clusters of the network make different portfolio decisions while those in the same cluster make similar ones. The latter result is broadly consistent with empirical findings. The second essay tries to explain two important features of large stock price movements: amplifica-tion and asymmetry. Large price movements are often amplified reactions to tangible information and they display an asymmetry: the number of crashes is higher than the number of frenzies. Our explana-tion for these features involves the use of hedging (portfolio insurance) strategies in the stock market. Hedgers, who use these strategies, seli assets as the price declines and buy vvhen the price increases. We shovv that hedgers amplify the impact of nevvs and liquidity shocks on price movements. Convex hedging strategies cause overreaction to negative news and liquidity shocks, hence they create an asymmetry biased tovvards crashes. An important class of hedging strategies, namely put-option replication, satisftes the convexity condition vvhen the asset prices are highly volatile. Risk aversion is shovvn to be essential for the asymmetry of price movements. Also, we shovv that differential information enhances both amplification and asymmetry delivered by hedging.
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