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dc.contributor.authorCespa, Giovannien_US
dc.contributor.authorVives, Xavieren_US
dc.date.accessioned2009-11-17en_US
dc.date.accessioned2010-05-14T08:24:07Z-
dc.date.available2010-05-14T08:24:07Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/30693-
dc.description.abstractWe investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public information with respect to optimal statistical weights. Both phenomena, in turn, occur whenever traders speculate on short-run price movements. For a given, positive level of residual payoff uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesian” region; the complementary region is Hayekian” in that prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and noise trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which traders abide by Keynes' dictum of concentrating on an asset long term prospects and those only.” The analysis explains accommodation and trend chasing strategies as well as momentum and reversal.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2839en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordefficient market hypothesisen_US
dc.subject.keywordlong and short-term tradingen_US
dc.subject.keywordaverage expectationsen_US
dc.subject.keywordhigher order beliefsen_US
dc.subject.keywordover-reliance on public informationen_US
dc.subject.keywordopaquenessen_US
dc.subject.keywordmomentumen_US
dc.subject.keywordreversalen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalmarkttheorieen_US
dc.subject.stwEffizienzmarkttheseen_US
dc.subject.stwNoise Tradingen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwErwartungstheorieen_US
dc.subject.stwTheorieen_US
dc.titleDynamic trading and asset prices : Keynes vs. Hayeken_US
dc.typeWorking Paperen_US
dc.identifier.ppn61291626Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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