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Rational expectations equilibrium with uncertain proportion of informed traders
16 references·1 citing·39 second hop
Rational expectations equilibrium with uncertain proportion of informed traders (2012)Rational expectations equilibrium with un…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2004)Unique Equilibrium in a Model…Implications of rational inattention (2003)Implications of rational inat…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2002)Unique Equilibrium in a Model…Multidimensional Uncertainty and Herd Behavior in Financial Markets (1998)Multidimensional Uncertainty …Models of Currency Crises with Self-Fulfilling Features (1995)Models of Currency Crises wit…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Global Games and Equilibrium Selection (1993)Global Games and Equilibrium …A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Rational and Self-Fulfilling …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Learning about noise (2018)Learning about noiseSome International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)A Model of Balance-of-Payments Crises (1979)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Multimarket Oligopoly: Strategic Substitutes and Complements (1985)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1996)Economic Crises: Evidence and Insights from East Asia (1998)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Reexamination of the perfectness concept for equilibrium points in extensive games (1975)A General Theory of Equilibrium Selection in Games (1988)Bubbles and Crashes (2003)The Stag Hunt and the Evolution of Social Structure (2003)The Politics of Authoritarian Rule (2012)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Innovative efficiency and stock returns (2012)Sentiment During Recessions (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)The Limits of Arbitrage (1995)Economic Links and Predictable Returns (2008)Efficient Capital Markets: II (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2003Implications of rational inattention3,869 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 1993Global Games and Equilibrium Selection1,547 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 1995Models of Currency Crises with Self-Fulfilling Features1,058 cited
  • 1984Rational and Self-Fulfilling Balance-of-Payments Crises960 cited
  • 2002Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks911 cited
  • 2004Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks782 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1998Multidimensional Uncertainty and Herd Behavior in Financial Markets

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748 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
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    • 2018Learning about noise19 cited