Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding / Edition 1

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Overview

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

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Editorial Reviews

From the Publisher
"This book develops the conceptual foundations required for the analysis of markets with asymmetric information, and uses them to provide a clear survey and synthesis of the theoretical literature on bubbles, market microstructure, crashes, and herding in financial markets. The book is not only useful to the beginner who requires a guide through the rapidly-developing literature, but provides insights and perspective that the expert will also appreciate."—Michael Brennan, Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. President of the American Finance Association, 1989

"This book provides an excellent account of how bubbles and crashes and various other phenomena can occur. Traditional asset pricing theories have assumed symmetric information. Including asymmetric information radically alters the results that are obtained. The author takes a complex subject and presents it in a clear and concise manner. I strongly recommend it for anybody seriously interested in the theory of asset pricing."—Franklin Allen, Nippon Life Professor of Finance and Economics at the Wharton School, University of Pennsylvania, President of the American Finance Association, 2000

"This timely book provides an invaluable map for students and researchers navigating the literature on market microstructure, and more generally, on equilibrium with asymmetric information. It will become highly recommended reading for graduate courses in the economics of uncertainty and in financial economics."—Hyun Song Shin, Professor of Finance at the London School of Economics

"In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the international aspects of price processes. This book provides a detailed survey of the literature."—Business Horizons

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Product Details

  • ISBN-13: 9780198296980
  • Publisher: Oxford University Press
  • Publication date: 3/29/2001
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 262
  • Product dimensions: 9.00 (w) x 6.10 (h) x 0.70 (d)

Meet the Author

Markus K. Brunnermeier is an Assistant Professor in the Department of Economics at Princeton University, where he teaches courses in financial economics. He was previously a member of the Financial Markets Group at the London School of Economics.

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Table of Contents

1. Information, Equilibrium, Efficiency Concepts
2. No-Trade Theorems, Asset Pricing, Bubbles
3. Market Microstructure Models
4. Dynamic Models, Technical Analysis and Volume
5. Herding and Informational Cascades
6. Crashes, Investigative Herding, Bank Runs

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