This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors ...

having examined the behavior of investors, economists have made numerously attempts to specify investments determinants and their various effects. a number relevant variables explaining investment rely on different expectations. because of the crucial role of expectations on the investment behavior, it needs to be recognized as an appropriate conceptual framework for the iranian economy . accor...

Objective: Market anomalieschange with economic conditions, stock markets, selected samples, time periods and differences between industries. Revision of past forecasts leads to forecast error. The revisions result from new information. On the other hand, some managers slowly revise their forecasts in responding to new information. Therefore, the purpose of this research is to investigate the r...

A key intuition of standard rational expectations models is that private information about future payoffs can by itself not generate trading. Trading is only possible if there is an additional motive for trading such as for example liquidity trading. In this paper I show how this misleading intuition results from an assumption that all of these models have in common: investors have negative exp...

Standard asset pricing models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. The heterogeneity in expectations can lead to market instability and complicate dynamics of prices, which are driven by endogenous market forces. In this sense, we use Agent-based computational approach and more specifically artificial Stock...

Using data from a new field experiment in South Korea, we study how information from virtual communities such as stock message boards influences investors’ trading decisions and investment performance. Motivated by recent studies in psychology, we conjecture that investors would use message boards to seek information that confirms their prior beliefs. This confirmation bias would make them more...

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are informative about the asset payoff, insiders get a strictly larger expected utility than outsiders. Yet, info...

In this paper we seek to explain the behavior of the long term interest rate in the U.S. over the last 50 years using the idea that investors had only limited information about the process generating short term interest rates. Investors are assumed to behave according to the expectations hypothesis of the term structure but use econometric methods to learn about the appropriate model for short ...