دانلود مقاله ISI انگلیسی شماره 109059
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
109059 2018 27 صفحه PDF سفارش دهید 14836 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Dynamic market participation and endogenous information aggregation
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Theory, Volume 175, May 2018, Pages 491-517

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

This paper studies information aggregation in financial markets with recurrent investor exit and entry. I consider a dynamic general equilibrium model of asset trading with private information and collateral constraints. Investors differ in their aversion to Knightian uncertainty: When uncertainty is high, some investors exit the market. Since exiting investors' information is not fully revealed by prices, conditional return volatility and risk premia both increase. The model also implies that exit is more likely when wealth is more concentrated in the hands of less uncertainty-averse investors. The model thus predicts less informative prices toward the end of a long boom. Moreover, economies with looser collateral constraints should see more volatility due to exit and partial revelation. Higher capital requirements potentially improve welfare by inducing more information revelation by prices.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.