Forecasting the forecasts of others: implications for asset pricing

DOI10.1016/j.jet.2012.01.020zbMath1258.91075OpenAlexW2103875644MaRDI QIDQ417611

Oleg Rytchkov, I. M. Makarov

Publication date: 14 May 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2012.01.020

zbMATH Keywords

asset pricingasymmetric informationmomentumhigher order expectations

Mathematics Subject Classification ID

Rationality and learning in game theory (91A26)

Related Items

Analytic policy function iteration ⋮ Hierarchical information and the rate of information diffusion ⋮ Solving generalized multivariate linear rational expectations models ⋮ Optimal Dynamic Momentum Strategies ⋮ Signal-jamming in the frequency domain ⋮ Rational inattention in the frequency domain ⋮ Advance information and asset prices ⋮ A machine learning view on momentum and reversal trading ⋮ Speculative dynamics

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