Arbeitspapier
Inference, arbitrage, and asset price volatility
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage effect. From a technical point of view, this paper offers closed-form solutions to a dynamic equilibrium model with asymmetric information and non-Gaussian priors.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 187
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
asset pricing
learning
asymmetric information
limits to arbitrage
Börsenkurs
Volatilität
Arbitragegeschäft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adrian, Tobias
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Adrian, Tobias
- Federal Reserve Bank of New York
Entstanden
- 2004
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