Asset pricing in large information networks

Journal of Economic Theory

Volumn 146, Issue 6, 2011, Pages 2252-2280

  Ozsoylev, Han N ^a   Walden, Johan ^b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Information networks; Noisy rational expectations equilibrium; Power law

Indexed keywords

EID: 82155166305     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2011.10.003     Document Type: Article

References (55)

1. Abramowitz M., Stegun I.A. Handbook of Mathematical Functions 1970, Dover.
2. Adamic L., Adar E. How to search a social network. Social Networks 2005, 27:187-203.
3. Admati A.R. A noisy rational expectations equilibrium for multi-asset securities markets. Econometrica 1985, 53:629-658.
4. G. Aragon, R. Bildik, D. Yavuz, Do institutional investors have an information advantage, Mimeo, 2007.
5. Back K., Cao H., Willard G. Imperfect competition among informed traders. J. Finance 2000, 55:2117-2155.
6. Barabasi A.L., Albert R. Emergence of scaling in random networks. Science 1999, 286:509-512.
7. Barber B., Lee Y.T., Liu Y.J., Odean T. Just how much do individual investors lose by trading?. Rev. Finan. Stud. 2009, 22:609-632.
8. G. Brumen, P. Vanini, Pricing credit risk in buyer-supplier networks, Mimeo, 2008.
9. Brunnermeier M. Information leakage and market efficiency. Rev. Finan. Stud. 2005, 18:418-457.
10. Calvet L., Campbell J., Sodini P. Down or out: Assessing the welfare costs of household investment mistakes. J. Polit. Economy 2007, 115:707-747.
11. Chung F., Li L. Complex Graphs and Networks 2006, Amer. Math. Soc.
12. Cohen L., Frazzini A., Malloy C. The small world of investing: Board connections and mutual fund returns. J. Polit. Economy 2008, 116:951-979.
13. Colla P., Mele A. Information linkages and correlated trading. Rev. Finan. Stud. 2010, 23:203-246.
14. Cutler D.M., Poterba J.M., Summers L.H. What moves stock prices. J. Portfol. Manage. 1989, 15:4-12.
15. Das S.J., Sisk J. Financial communities. J. Portfol. Manage. 2005, 31:112-123.
16. DeMarzo P.M., Vayanos D., Zwiebel J. Persuasion bias, social influence, and uni-dimensional opinions. Quart. J. Econ. 2003, 118:909-968.
17. P.M. DeMarzo, D. Vayanos, J. Zwiebel, Financial markets and social networks, Mimeo, 2004.
18. Diamond D., Verrecchia R. Information aggregation in a noisy rational expectations equilibrium. J. Finan. Econ. 1981, 9:219-317.
19. Dorn D., Huberman G., Sengmueller P. Correlated trading and returns. J. Finance 2008, 63:885-920.
20. Fafchamps M., Lund S. Risk-sharing networks in rural Phillipines. J. Devel. Econ. 2003, 71:261-287.
21. Fair R. Events that shook the market. J. Bus. 2002, 75:713-731.
22. Feng L., Seasholes M. Correlated trading and location. J. Finance 2004, 59:2117-2144.
23. Foster F., Viswanathan S. Strategic trading when agents forecast the forecasts of others. J. Finance 1996, 51:1437-1478.
24. Gabaix X. Zipf's law for cities: An explanation. Quart. J. Econ. 1999, 114:739-767.
25. Golub G.H., van Loan C.F. Matrix Computations 1989, John Hopkins University Press.
26. J. Gomez, R. Priestley, F. Zapatero, The effect of relative wealth concerns on the cross-section of stock returns, Mimeo, 2009.
27. Grabowskia A. Interpersonal interactions and human dynamics in a large social network. Phys. A 2007, 385:363-369.
28. Grinblatt M., Keloharju M. The investment behavior and performance of various investor types: a study of Finland's unique data set. J. Finan. Econ. 2000, 55:43-57.
29. Grinblatt M., Keloharju M. How distance, language, and culture influence stockholdings and trades. J. Finance 2001, 56:1053-1073.
30. J. Grossman, P. Ion, R.D. Castro, The Erdos number project, Mimeo, 2007.
31. Hau H. Location matters: an examination of trading profits. J. Finance 2001, 56:1959-1983.
32. Hellwig M.F. On the aggregation of information in competitive markets. J. Econ. Theory 1980, 22:477-498.
33. Hong H., Kubik J.D., Stein J.C. Social interaction and stock-market participation. J. Finance 2004, 49:137-163.
34. Ibragimov R., Jaffee D., Walden J. Nondiversification traps in markets for catastrophe insurance. Rev. Finan. Stud. 2009, 22:559-594.
35. Ivković Z., Weisbenner S. Information diffusion effects in individual investors' common stock purchases: Covet thy neighbors' investment choices. Rev. Finan. Stud. 2007, 20:1327-1357.
36. Jackson M.O. Social and Economic Networks 2008, Princeton University Press.
37. Jackson M.O. An overview of social networks and economic applications. The Handbook of Social Economics 2010, North-Holland. J. Benhabib, A. Bisin, M.O. Jackson (Eds.).
38. Khandani A., Lo A.W. What happened to the quants in August 2007? Evidence from factors and transactions data. J. Finan. Markets 2011, 14:1-46.
39. S. Kumar, P. Raghavan, S. Rajagopalan, A. Tomkins, Crawling the web for emerging cybercommunities, in: Proceedings of 8th WWW Conference, 1999, pp. 403-416.
40. Kyle A.S. Continuous auctions and insider trading. Econometrica 1985, 53:1315-1336.
41. Massa M., Simonov A. Hedging, familiarity and portfolio choice. Rev. Finan. Stud. 2006, 19:633-685.
42. Milgram S. The small world problem. Psychol. Today 1967, 2:60-67.
43. Myers C.A., Shultz G.P. The Dynamics of a Labor Market 1951, Prentice-Hall.
44. Newman M. The structure of scientific collaboration networks. Proc. Natl. Acad. Sci. USA 2001, 98:404-409.
45. H. Ozsoylev, Asset pricing implications of social networks, Mimeo, 2005.
46. A. Pareek, Information networks: Implications for mutual fund trading behavior and stock returns, Mimeo, 2009.
47. Reiss A., Shultz G.P. Workers in an Urban Labor Market 1970, University of Chicago Press.
48. Simon H.A. On a class of skew distribution functions. Biometrika 1955, 42:425-440.
49. Spiegel M. Stock price volatility in a multiple security overlapping generations model. Rev. Finan. Stud. 1998, 11:419-447.
50. Uzzi B. The sources and consequences of embededdeness for the economic performance of organizations: The network effect. Am. Sociol. Rev. 1996, 61:674-698.
51. Vives X. Short-term investment and the information efficiency of the market. Rev. Finan. Stud. 1995, 8:125-160.
52. Wang J. A model of intertemporal asset prices under asymmetric information. Rev. Econ. Stud. 1993, 60:249-282.
53. Watts D.J., Strogatz S.H. Collective dynamics of small world networks. Nature 1998, 393:440-442.
54. Wu F., Huberman B., Adamic L., Tyler J. Information flow in social groups. Phys. A 2004, 337:327-335.
55. C. Xia, Communication and confidence in financial markets, Mimeo, 2007.