메뉴 건너뛰기




Volumn 16, Issue 3, 2013, Pages 526-549

Noise and aggregation of information in large markets

Author keywords

Information acquisition; Markets for information; Multi asset markets; Partially revealing competitive equilibria; Share auctions

Indexed keywords


EID: 84880582415     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2012.07.003     Document Type: Article
Times cited : (14)

References (71)
  • 1
    • 0001641216 scopus 로고
    • A noisy rational expectations equilibrium for multi-asset securities markets
    • Admati A.R. A noisy rational expectations equilibrium for multi-asset securities markets. Econometrica 1985, 53(3):629-657.
    • (1985) Econometrica , vol.53 , Issue.3 , pp. 629-657
    • Admati, A.R.1
  • 3
    • 38249034957 scopus 로고
    • Viable allocations of information in financial markets
    • Admati A.R., Pfleiderer P. Viable allocations of information in financial markets. Journal of Economic Theory 1987, 43:76-115.
    • (1987) Journal of Economic Theory , vol.43 , pp. 76-115
    • Admati, A.R.1    Pfleiderer, P.2
  • 4
    • 0001547698 scopus 로고
    • Direct and indirect sale of information
    • Admati A.R., Pfleiderer P. Direct and indirect sale of information. Econometrica 1990, 58(4):901-928.
    • (1990) Econometrica , vol.58 , Issue.4 , pp. 901-928
    • Admati, A.R.1    Pfleiderer, P.2
  • 5
    • 0000529094 scopus 로고
    • Insider trading in a rational-expectations economy
    • Ausubel L. Insider trading in a rational-expectations economy. American Economic Review 1990, 80(5):1022-1041.
    • (1990) American Economic Review , vol.80 , Issue.5 , pp. 1022-1041
    • Ausubel, L.1
  • 6
    • 0009251163 scopus 로고
    • Auctions of divisible goods. on the rationale for the treasury experiment
    • Back K., Zender J.F. Auctions of divisible goods. on the rationale for the treasury experiment. Review of Financial Studies 1993, 6(4):733-764.
    • (1993) Review of Financial Studies , vol.6 , Issue.4 , pp. 733-764
    • Back, K.1    Zender, J.F.2
  • 7
    • 0002241294 scopus 로고
    • Sensitivity, precision, and linear aggregation of signals for performance evaluation
    • Banker R.D., Datar S.M. Sensitivity, precision, and linear aggregation of signals for performance evaluation. Journal of Accounting Research 1989, 27(1):21-39.
    • (1989) Journal of Accounting Research , vol.27 , Issue.1 , pp. 21-39
    • Banker, R.D.1    Datar, S.M.2
  • 8
    • 0038154501 scopus 로고    scopus 로고
    • Information acquisition in financial markets
    • Barlevy G., Veronesi P. Information acquisition in financial markets. Review of Economic Studies 2000, 67(1):79-90.
    • (2000) Review of Economic Studies , vol.67 , Issue.1 , pp. 79-90
    • Barlevy, G.1    Veronesi, P.2
  • 10
    • 0030551832 scopus 로고    scopus 로고
    • Information, trade, and derivative securities
    • Brennan M.J., Cao H.H. Information, trade, and derivative securities. Review of Financial Studies 1996, 9(1):163-208.
    • (1996) Review of Financial Studies , vol.9 , Issue.1 , pp. 163-208
    • Brennan, M.J.1    Cao, H.H.2
  • 12
    • 0001911942 scopus 로고
    • Accounting income, stock price and managerial compensation
    • Bushman R., Indjejikian R. Accounting income, stock price and managerial compensation. Journal of Accounting & Economics 1993, 33(2):3-23.
    • (1993) Journal of Accounting & Economics , vol.33 , Issue.2 , pp. 3-23
    • Bushman, R.1    Indjejikian, R.2
  • 13
    • 21844524991 scopus 로고
    • Voluntary disclosures and the trading behavior of corporate insiders
    • Bushman R., Indjejikian R. Voluntary disclosures and the trading behavior of corporate insiders. Journal of Accounting Research 1995, 16:293-316.
    • (1995) Journal of Accounting Research , vol.16 , pp. 293-316
    • Bushman, R.1    Indjejikian, R.2
  • 15
    • 0033476049 scopus 로고    scopus 로고
    • The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium
    • Cao H. The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium. Review of Financial Studies 1999, 12(1):131-163.
    • (1999) Review of Financial Studies , vol.12 , Issue.1 , pp. 131-163
    • Cao, H.1
  • 16
    • 41649093770 scopus 로고    scopus 로고
    • Information sales and insider trading
    • Cespa G. Information sales and insider trading. Journal of Finance 2007, 63(2):639-672.
    • (2007) Journal of Finance , vol.63 , Issue.2 , pp. 639-672
    • Cespa, G.1
  • 17
    • 77957232452 scopus 로고    scopus 로고
    • Efficiency of Large Double Auctions
    • Technical Report. Washington University in St. Louis.
    • Cripps, M.W., Swinkels, J.M., 2004. Efficiency of Large Double Auctions. Technical Report. Washington University in St. Louis.
    • (2004)
    • Cripps, M.W.1    Swinkels, J.M.2
  • 18
    • 0006829936 scopus 로고
    • Private information and the design of securities
    • Demange G., Laroque G. Private information and the design of securities. Journal of Economic Theory 1995, 65:233-257.
    • (1995) Journal of Economic Theory , vol.65 , pp. 233-257
    • Demange, G.1    Laroque, G.2
  • 19
    • 84898006741 scopus 로고
    • Optimal release of information by firms
    • Diamond D.W. Optimal release of information by firms. Journal of Finance 1985, 40(4):1071-1094.
    • (1985) Journal of Finance , vol.40 , Issue.4 , pp. 1071-1094
    • Diamond, D.W.1
  • 20
    • 0000147060 scopus 로고
    • Information aggregation in a noisy rational expectations economy
    • Diamond D.W., Verrecchia R.E. Information aggregation in a noisy rational expectations economy. Journal of Financial Economics 1981, 9:221-235.
    • (1981) Journal of Financial Economics , vol.9 , pp. 221-235
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 21
    • 0001518157 scopus 로고
    • Optimal managerial contracts and equilibrium security prices
    • Diamond D.W., Verrecchia R.E. Optimal managerial contracts and equilibrium security prices. Journal of Finance 1982, 37:275-287.
    • (1982) Journal of Finance , vol.37 , pp. 275-287
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 22
    • 33750554301 scopus 로고    scopus 로고
    • Endogenous information acquisition with cournot competition
    • Dierker M. Endogenous information acquisition with cournot competition. Annals of Finance 2006, 2:369-395.
    • (2006) Annals of Finance , vol.2 , pp. 369-395
    • Dierker, M.1
  • 23
    • 0344424400 scopus 로고
    • Financial market innovation and security design. an introduction
    • Duffie D., Rahi R. Financial market innovation and security design. an introduction. Journal of Economic Theory 1995, 65:1-42.
    • (1995) Journal of Economic Theory , vol.65 , pp. 1-42
    • Duffie, D.1    Rahi, R.2
  • 24
    • 80051975416 scopus 로고    scopus 로고
    • Endogeneous Information Quality in Common Value Auctions
    • Technical Report. University of Miami.
    • Gaier, E.M., Katzman, B., 2002. Endogeneous Information Quality in Common Value Auctions. Technical Report. University of Miami.
    • (2002)
    • Gaier, E.M.1    Katzman, B.2
  • 25
    • 68249123725 scopus 로고    scopus 로고
    • Information acquisition and mutual funds
    • García D., Vanden J.M. Information acquisition and mutual funds. Journal of Economic Theory 2009, 144(5):1965-1995.
    • (2009) Journal of Economic Theory , vol.144 , Issue.5 , pp. 1965-1995
    • García, D.1    Vanden, J.M.2
  • 26
    • 0030295871 scopus 로고    scopus 로고
    • Market timing ability and volatility implied in investment newsletters' asset allocation recommendations
    • Graham J.R., Harvey C.R. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. Journal of Financial Economics 1996, 42:397-421.
    • (1996) Journal of Financial Economics , vol.42 , pp. 397-421
    • Graham, J.R.1    Harvey, C.R.2
  • 27
    • 84944832265 scopus 로고
    • On the efficiency of competitive stock markets where trades have diverse information
    • Grossman S.J. On the efficiency of competitive stock markets where trades have diverse information. Journal of Finance 1976, 31(2):573-585.
    • (1976) Journal of Finance , vol.31 , Issue.2 , pp. 573-585
    • Grossman, S.J.1
  • 28
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman S.J., Stiglitz J.E. On the impossibility of informationally efficient markets. American Economic Review 1980, 70(3):393-408.
    • (1980) American Economic Review , vol.70 , Issue.3 , pp. 393-408
    • Grossman, S.J.1    Stiglitz, J.E.2
  • 29
    • 34249826482 scopus 로고    scopus 로고
    • Auction Equilibrium with Costly Information Acquisition
    • Technical Report. University of Illinois at Urbana-Champaign.
    • Guzman, R.M., Kolstad, C.D., 1997. Auction Equilibrium with Costly Information Acquisition. Technical Report. University of Illinois at Urbana-Champaign.
    • (1997)
    • Guzman, R.M.1    Kolstad, C.D.2
  • 30
    • 0346691566 scopus 로고
    • Private Values Auctions with Endogeneous Information: Revenue Equivalence and Non-equivalence
    • Technical Report. University of Wisconsin.
    • Hausch, D.B., Li, L., 1991. Private Values Auctions with Endogeneous Information: Revenue Equivalence and Non-equivalence. Technical Report. University of Wisconsin.
    • (1991)
    • Hausch, D.B.1    Li, L.2
  • 31
    • 0000088496 scopus 로고
    • On the aggregation of information in competitive markets
    • Hellwig M.F. On the aggregation of information in competitive markets. Journal of Economic Theory 1980, 22:477-498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.F.1
  • 32
    • 84993660281 scopus 로고
    • Security analysis and trading patterns when some investors receive information before others
    • Hirshleifer D., Subrahmanyam A., Titman S. Security analysis and trading patterns when some investors receive information before others. Journal of Finance 1994, 49(5):1665-1698.
    • (1994) Journal of Finance , vol.49 , Issue.5 , pp. 1665-1698
    • Hirshleifer, D.1    Subrahmanyam, A.2    Titman, S.3
  • 33
    • 0141908239 scopus 로고    scopus 로고
    • News events, information acquisition, and serial correlation
    • Holden C.W., Subrahmanyam A. News events, information acquisition, and serial correlation. Journal of Business 2002, 75(1):1-32.
    • (2002) Journal of Business , vol.75 , Issue.1 , pp. 1-32
    • Holden, C.W.1    Subrahmanyam, A.2
  • 34
    • 2342594028 scopus 로고    scopus 로고
    • Rates of information aggregation in common value auctions
    • Hong H., Shum M. Rates of information aggregation in common value auctions. Journal of Economic Theory 2004, 116:1-40.
    • (2004) Journal of Economic Theory , vol.116 , pp. 1-40
    • Hong, H.1    Shum, M.2
  • 35
    • 1542398780 scopus 로고    scopus 로고
    • Efficiency and information aggregation in auctions with costly information
    • Jackson M.O. Efficiency and information aggregation in auctions with costly information. Review of Economic Design 2003, 8(2):121-141.
    • (2003) Review of Economic Design , vol.8 , Issue.2 , pp. 121-141
    • Jackson, M.O.1
  • 36
    • 1842606461 scopus 로고    scopus 로고
    • The relationship between the allocation of goods and a seller's revenue
    • Jackson M.O., Kremer I. The relationship between the allocation of goods and a seller's revenue. Journal of Mathematical Economics 2004, 40:371-392.
    • (2004) Journal of Mathematical Economics , vol.40 , pp. 371-392
    • Jackson, M.O.1    Kremer, I.2
  • 38
    • 0000358003 scopus 로고
    • Trading volume and price reaction to public announcements
    • Kim O., Verrecchia R.E. Trading volume and price reaction to public announcements. Journal of Accounting Research 1991, 29(2):302-321.
    • (1991) Journal of Accounting Research , vol.29 , Issue.2 , pp. 302-321
    • Kim, O.1    Verrecchia, R.E.2
  • 39
    • 84880613684 scopus 로고    scopus 로고
    • Competitive Rational Expectations Equilibria Without Apology
    • Technical Report. IESE Business School.
    • Kovalenkov, A., Vives, X., 2004. Competitive Rational Expectations Equilibria Without Apology. Technical Report. IESE Business School.
    • (2004)
    • Kovalenkov, A.1    Vives, X.2
  • 40
    • 0036071637 scopus 로고    scopus 로고
    • Information aggregation in common value auctions
    • Kremer I. Information aggregation in common value auctions. Econometrica 2002, 70(4):1675-1682.
    • (2002) Econometrica , vol.70 , Issue.4 , pp. 1675-1682
    • Kremer, I.1
  • 41
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle A.S. Continuous auctions and insider trading. Econometrica 1985, 53(6):1315-1336.
    • (1985) Econometrica , vol.53 , Issue.6 , pp. 1315-1336
    • Kyle, A.S.1
  • 42
    • 84959850547 scopus 로고
    • Informed speculation with imperfect competition
    • Kyle A.S. Informed speculation with imperfect competition. Review of Economic Studies 1989, 56(3):317-355.
    • (1989) Review of Economic Studies , vol.56 , Issue.3 , pp. 317-355
    • Kyle, A.S.1
  • 43
    • 0001570608 scopus 로고
    • Information acquisition in discriminatory auctions
    • Boyer, M., Kihlstrom, R. (Eds.), Bayesian Models in Economic Theory. North-Holland, Amsterdam & New York
    • Matthews, S., 1984. Information acquisition in discriminatory auctions. In: Boyer, M., Kihlstrom, R. (Eds.), Bayesian Models in Economic Theory. North-Holland, Amsterdam & New York, pp. 181-207 (Chapter 11).
    • (1984) , pp. 181-207
    • Matthews, S.1
  • 44
    • 4344615389 scopus 로고    scopus 로고
    • Strategic trading, liquidity, and information acquisition
    • Mendelson H., Tunca T.I. Strategic trading, liquidity, and information acquisition. Review of Financial Studies 2004, 17(2):295-337.
    • (2004) Review of Financial Studies , vol.17 , Issue.2 , pp. 295-337
    • Mendelson, H.1    Tunca, T.I.2
  • 45
    • 0040628315 scopus 로고    scopus 로고
    • Performance evaluation with transactions data. the stock selection of investment newsletters
    • Metrick A. Performance evaluation with transactions data. the stock selection of investment newsletters. Journal of Finance 1999, 54(5):1743-1775.
    • (1999) Journal of Finance , vol.54 , Issue.5 , pp. 1743-1775
    • Metrick, A.1
  • 46
    • 0000451226 scopus 로고
    • A convergence theorem for competitive bidding with differential information
    • Milgrom P.R. A convergence theorem for competitive bidding with differential information. Econometrica 1979, 47(3):679-688.
    • (1979) Econometrica , vol.47 , Issue.3 , pp. 679-688
    • Milgrom, P.R.1
  • 47
    • 80051995343 scopus 로고
    • Rational expectations, information acquisition and competitive bidding
    • Milgrom P.R. Rational expectations, information acquisition and competitive bidding. Quarterly Journal of Economics 1981, 140(2):341-388.
    • (1981) Quarterly Journal of Economics , vol.140 , Issue.2 , pp. 341-388
    • Milgrom, P.R.1
  • 48
    • 0034422855 scopus 로고    scopus 로고
    • Information acquisition and research differentiation prior to an open-bid auction
    • Moresi S. Information acquisition and research differentiation prior to an open-bid auction. International Journal of Industrial Organization 2000, 18:723-746.
    • (2000) International Journal of Industrial Organization , vol.18 , pp. 723-746
    • Moresi, S.1
  • 49
    • 24344455323 scopus 로고    scopus 로고
    • Competition and information production in market maker models
    • Morrison A.D. Competition and information production in market maker models. Journal of Business, Finance and Accounting 2004, 31:1171-1190.
    • (2004) Journal of Business, Finance and Accounting , vol.31 , pp. 1171-1190
    • Morrison, A.D.1
  • 51
    • 0031570621 scopus 로고    scopus 로고
    • On aggregation of information in competitive markets. the dynamic case
    • Naik N. On aggregation of information in competitive markets. the dynamic case. Journal of Economic Dynamics and Control 1997, 21(7):1199-1227.
    • (1997) Journal of Economic Dynamics and Control , vol.21 , Issue.7 , pp. 1199-1227
    • Naik, N.1
  • 53
    • 51249113184 scopus 로고    scopus 로고
    • Asset Pricing Implications of Social Networks
    • Technical Report. Oxford University.
    • Ozsoylev, H., 2005. Asset Pricing Implications of Social Networks. Technical Report. Oxford University.
    • (2005)
    • Ozsoylev, H.1
  • 54
    • 4344710137 scopus 로고    scopus 로고
    • Wealth, information acquisition, and portfolio choice
    • Peress J. Wealth, information acquisition, and portfolio choice. Review of Financial Studies 2004, 17(3):879-914.
    • (2004) Review of Financial Studies , vol.17 , Issue.3 , pp. 879-914
    • Peress, J.1
  • 55
    • 0000186672 scopus 로고    scopus 로고
    • Information acquisition in auctions
    • Persico N. Information acquisition in auctions. Econometrica 2000, 68(1):135-148.
    • (2000) Econometrica , vol.68 , Issue.1 , pp. 135-148
    • Persico, N.1
  • 56
    • 0000369606 scopus 로고    scopus 로고
    • The loser's curse and information aggregation in common value auctions
    • Pesendorfer W., Swinkels J.M. The loser's curse and information aggregation in common value auctions. Econometrica 1997, 65(6):1247-1281.
    • (1997) Econometrica , vol.65 , Issue.6 , pp. 1247-1281
    • Pesendorfer, W.1    Swinkels, J.M.2
  • 57
    • 0000779299 scopus 로고    scopus 로고
    • Efficiency and information aggregation in auctions
    • Pesendorfer W., Swinkels J.M. Efficiency and information aggregation in auctions. American Economic Review 2000, 90(3):499-525.
    • (2000) American Economic Review , vol.90 , Issue.3 , pp. 499-525
    • Pesendorfer, W.1    Swinkels, J.M.2
  • 58
    • 0000526390 scopus 로고    scopus 로고
    • Adverse selection and security design
    • Rahi R. Adverse selection and security design. Review of Economic Studies 1996, 63:287-300.
    • (1996) Review of Economic Studies , vol.63 , pp. 287-300
    • Rahi, R.1
  • 59
    • 33748506271 scopus 로고    scopus 로고
    • Toward a strategic foundation for rational expectations equilibrium
    • Reny P.J., Perry M. Toward a strategic foundation for rational expectations equilibrium. Econometrica 2006, 74(5):1231-1269.
    • (2006) Econometrica , vol.74 , Issue.5 , pp. 1231-1269
    • Reny, P.J.1    Perry, M.2
  • 60
    • 0000256694 scopus 로고
    • Informed speculation and hedging in a noncompetitive securities market
    • Spiegel M., Subrahmanyam A. Informed speculation and hedging in a noncompetitive securities market. Review of Financial Studies 1992, 5(2):307-329.
    • (1992) Review of Financial Studies , vol.5 , Issue.2 , pp. 307-329
    • Spiegel, M.1    Subrahmanyam, A.2
  • 61
    • 0002476903 scopus 로고    scopus 로고
    • Efficiency of large private value auctions
    • Swinkels J.M. Efficiency of large private value auctions. Econometrica 2001, 69:37-68.
    • (2001) Econometrica , vol.69 , pp. 37-68
    • Swinkels, J.M.1
  • 62
    • 33745837857 scopus 로고    scopus 로고
    • Information Acquisition and Under-diversification
    • Technical Report. New York University.
    • Veldkamp, L.L., VanNieuwerburgh, S., 2007. Information Acquisition and Under-diversification. Technical Report. New York University.
    • (2007)
    • Veldkamp, L.L.1    VanNieuwerburgh, S.2
  • 63
    • 0000125897 scopus 로고
    • Information acquisition in a noisy rational expectations economy
    • Verrecchia R.E. Information acquisition in a noisy rational expectations economy. Econometrica 1982, 50(6):1415-1430.
    • (1982) Econometrica , vol.50 , Issue.6 , pp. 1415-1430
    • Verrecchia, R.E.1
  • 65
    • 0041372677 scopus 로고    scopus 로고
    • Optimal Bidding in Multi-unit Discriminatory Auctions: Two Bidders
    • Technical Report. Duke University.
    • Viswanathan, S., Wang, J.J., Witelski, T.P., January 2001. Optimal Bidding in Multi-unit Discriminatory Auctions: Two Bidders. Technical Report. Duke University.
    • (2001)
    • Viswanathan, S.1    Wang, J.J.2    Witelski, T.P.3
  • 66
    • 0001267393 scopus 로고
    • Aggregation of information in large cournot markets
    • Vives X. Aggregation of information in large cournot markets. Econometrica 1988, 56(4):851-876.
    • (1988) Econometrica , vol.56 , Issue.4 , pp. 851-876
    • Vives, X.1
  • 67
    • 21844527325 scopus 로고
    • Short-term investment and the informational efficiency of the market
    • Vives X. Short-term investment and the informational efficiency of the market. Review of Financial Studies 1995, 8(1):125-160.
    • (1995) Review of Financial Studies , vol.8 , Issue.1 , pp. 125-160
    • Vives, X.1
  • 68
    • 84960614899 scopus 로고
    • A model of intertemporal asset prices under asymmetric information
    • Wang J. A model of intertemporal asset prices under asymmetric information. Review of Economic Studies 1993, 60(2):249-282.
    • (1993) Review of Economic Studies , vol.60 , Issue.2 , pp. 249-282
    • Wang, J.1
  • 69
    • 84925910020 scopus 로고
    • A bidding model of perfect competition
    • Wilson R. A bidding model of perfect competition. Review of Economic Studies 1977, 44(3):511-518.
    • (1977) Review of Economic Studies , vol.44 , Issue.3 , pp. 511-518
    • Wilson, R.1
  • 71
    • 0037953448 scopus 로고    scopus 로고
    • Dynamic portfolio choice and asset pricing with differential information
    • Zhou C. Dynamic portfolio choice and asset pricing with differential information. Journal of Economic Dynamics and Control 1998, 22:1027-1051.
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 1027-1051
    • Zhou, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.