The structure of asset prices and socially useless - useful information
Article Abstract:
The value of additional information is related to asset prices in a pure exchange setting. A pricing hypothesis, that prices in the economy with less information are unbiased estimators of the prices that would obtain in the economy with more information, is analyzed. Results indicate that if the incremental information is not useful, then the pricing hypothesis applies; also, if the pricing hypothesis is assumed to be valid, then there is always social value of the information in a weak sense. The results are also considered in light of empirical research, and the idea of viewing statistical tests of association between prices and signals as tests of the social value of information is examined.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
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Incomplete markets and security prices: do asset-pricing puzzles result from aggregation problems?
Article Abstract:
A direct analysis of the Euler equations for individual consumers, instead of those for the representative consumer, provides statistical evidence for the significance of market incompleteness. It has also been established that the analysis of nonlinear Euler equations using panel data can be valuable. Euler equations at the household level are not supported by the data in all dimensions, even with households at interior solutions. It appears that there is justification for a more detailed assessment of the presence of demographic variables.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1999
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Asset price volatility, bubbles, and process switching
Article Abstract:
Frequently, economists blame speculative bubbles for excessively volatile asset prices, when compared to fundamental pricing theories for various markets. An analysis of the speculative bubbles indicates that while they might theoretically lead to excess volatility, the existence of variance bounds tests prevent this phenomenon from occurring. The analysis also suggests that the excess volatility experienced may be attributable to either faulty specification or inappropriate statistical testing, or both.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
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