Learning from Prices and the Dispersion in Beliefs

Banerjee, Snehal

doi:10.1093/rfs/hhr050

Cited by 250 publications

(127 citation statements)

References 42 publications

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“…across time, normally distributed with mean δ > 0 and variance σ 2 > 0. The stock is traded in the 3 It is standard in the literature to assume an exogenous, constant riskless rate in models with CARA-normal assetpricing models (see, for example, Wang, 1993;Spiegel, 1998;Watanabe, 2008;Banerjee, 2011, andVayanos andWoolley, 2013). Moreover, Sundaresan (1983) provides a justification for a constant interest rate in a general equilibrium model with CARA agents.…”

Section: Stockmentioning

confidence: 99%

“…6 It is standard to study price volatility by assuming random stock supply. See Spiegel (1998), Watanabe (2008), and Banerjee (2011) for overlapping generations models, and Campbell and Kyle (1993) and Wang (1993) for infinitely lived agent models. We could alternatively assume a fixed stock supply k > 0 and a stochastic demand (k − S t ) from noise traders.…”

Section: Portfolio Managementmentioning

confidence: 99%

“…It is well known that there are potentially multiple equilibria in overlapping generations models with infinite time horizon and random stock supply (Spiegel, 1998;Watanabe, 2008;Banerjee, 2011). 16 Which of these two equilibria should one focus on?…”

Section: Equilibriummentioning

confidence: 99%

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Delegated portfolio management, optimal fee contracts, and asset prices

Sato

2016

Journal of Economic Theory

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This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment decisions, fee schedules, and stock price feed back into one another. The model predicts that (1) stock market's expected return and volatility increase as more investor capital is intermediated by funds, (2) fund's expense ratio is stable despite volatile market, (3) aggregate fund flow is positively (inversely) related to subsequent (past) market return, and (4) funds provide investors with a volatility hedge by adjusting market exposure countercyclically.

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Section: Stockmentioning

confidence: 99%

Section: Portfolio Managementmentioning

confidence: 99%

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Delegated portfolio management, optimal fee contracts, and asset prices

Sato

2016

Journal of Economic Theory

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“…5 The next set of proxies includes different measures of unexplained trading volume. These measures derive their justification from research that finds either abnormal amounts of volume that should not exist without divergence of opinions (Kandel & Pearson, 1995) or a positive relationship between volume and proxies for differential interpretation (Banerjee, 2011). Recent research by Garfinkel (2009) concludes that such proxies are most consistently and strongly correlated with the author's newly constructed measure based on proprietary data of investors' orders in NYSE stocks.…”

Section: Other Measures Of Differential Interpretationmentioning

confidence: 99%

Quantifying differential interpretation of public information using financial analysts’ earnings forecasts

Sheng

Thevenot

2015

International Journal of Forecasting

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“…for instance Hoffman et al (2012), who investigate the way in which expectations are formed in times of crisis. 64 For an innovative modeling suggestion, see Banerjee (2011). 65 For a literature review of the current state of this research direction, cf.…”

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confidence: 99%

Is Financial Speculation with Agricultural Commodities Harmful or Helpful? A Literature Review of Current Empirical Research

et al. 2013

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. that analyze the influence of financial speculation on the markets for agricultural commodities. According to the current state of research, there is little supporting evidence that the recent increase in financial speculation has caused either a)of the price level, or (b) the price volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not in favor of, but against (c) erecting market barriers by regulation. Against this background, the public alarm, which claims that financial speculation has detrimental effects and should be forbidden, seems to be a false alarm. Those who are interested in fighting global hunger should take care of fundamental factors and take appropriate measures to keep supply in step with demand, which is likely to rise in the near future. Terms of use: Documents in

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Learning from Prices and the Dispersion in Beliefs

Cited by 250 publications

References 42 publications

Delegated portfolio management, optimal fee contracts, and asset prices

Delegated portfolio management, optimal fee contracts, and asset prices

Quantifying differential interpretation of public information using financial analysts’ earnings forecasts

Is Financial Speculation with Agricultural Commodities Harmful or Helpful? A Literature Review of Current Empirical Research

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