Strategic complementarity of information in financial markets with large shocks
Article dans une revue: In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.
Auteur(s)
Christophe Chamley
Revue
- Annals of Finance
Date de publication
- 2010
Mots-clés JEL
Mots-clés
- Endogenous information
- Strategic complementarity
- Financial markets
- Aggregation of information
Pages
- 137-145
URL de la notice HAL
Version
- 1
Volume
- 6