Information Markets and the Comovement of Asset Prices

DOI10.1111/j.1467-937X.2006.00397.xzbMath1145.91354OpenAlexW3122323226MaRDI QIDQ5488501

Laura L. Veldkamp

Publication date: 22 September 2006

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-937x.2006.00397.x

Mathematics Subject Classification ID

Related Items (15)

Information acquisition, price informativeness, and welfare ⋮ Excess covariance and dynamic instability in a multi-asset model ⋮ The tradeoff between risk sharing and information production in financial markets ⋮ News media and delegated information choice ⋮ Directed attention and nonparametric learning ⋮ Private information and sunspots in sequential asset markets ⋮ The negative value of private information in illiquid markets ⋮ Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity ⋮ Portfolio choice, attention allocation, and price comovement ⋮ Media connection and return comovement ⋮ The time cost of information in financial markets ⋮ Is normal backwardation normal? Valuing financial futures with a local index-rate covariance ⋮ Dynamic information acquisition and time-varying uncertainty ⋮ Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model ⋮ On equilibrium existence in a finite-agent, multi-asset noisy rational expectations economy

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