EconPapers    
Economics at your fingertips  
 

Speculative investor behavior and learning

Stephen Morris ()

No 96-5, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: As traders learn about the true distribution of some asset's dividends, a speculative premium occurs as each trader anticipates the possibility of re-selling the asset to another trader before complete learning has occurred. Small differences in prior beliefs lead to large speculative premiums during the learning process. This phenomenon helps explain a paradox concerning the pricing of initial public offerings. The result casts light on the significance of the common prior assumption in economic models.

Keywords: Investments; Stock - Prices (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (104) Track citations by RSS feed

Downloads: (external link)
http://www.philadelphiafed.org/research-and-data/p ... pers/1996/wp96-5.pdf (application/pdf)

Related works:
Journal Article: Speculative Investor Behavior and Learning (1996) Downloads
Working Paper: Speculative Investor Behavior and Learning Downloads
Working Paper: Speculative Investor Behavior and Learning' Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedpwp:96-5

Ordering information: This working paper can be ordered from
http://www.phil.frb.org/econ/wps/index.html

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by Beth Paul ().

 
Page updated 2019-04-22
Handle: RePEc:fip:fedpwp:96-5