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dc.contributor.authorCespa, Giovannien
dc.contributor.authorVives, Xavieren
dc.date.accessioned2009-11-17-
dc.date.accessioned2010-05-14T08:24:07Z-
dc.date.available2010-05-14T08:24:07Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2839en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordefficient market hypothesisen
dc.subject.keywordlong and short-term tradingen
dc.subject.keywordaverage expectationsen
dc.subject.keywordhigher order beliefsen
dc.subject.keywordover-reliance on public informationen
dc.subject.keywordopaquenessen
dc.subject.keywordmomentumen
dc.subject.keywordreversalen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwEffizienzmarkttheseen
dc.subject.stwNoise Tradingen
dc.subject.stwWertpapierhandelen
dc.subject.stwInformationsverhaltenen
dc.subject.stwErwartungstheorieen
dc.subject.stwTheorieen
dc.titleDynamic trading and asset prices : Keynes vs. Hayek-
dc.typeWorking Paperen
dc.identifier.ppn61291626Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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