Strategic complementarity of information in financial markets with large shocks

Christophe Chamley ()
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Christophe Chamley: PSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, BU - Boston University [Boston]

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Abstract: In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.

Keywords: Endogenous information; Strategic complementarity; Financial markets; Aggregation of information (search for similar items in EconPapers)
Date: 2010-01
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Citations: View citations in EconPapers (2)

Published in Annals of Finance, 2010, 6 (1), pp.137-145. ⟨10.1007/s10436-009-0130-1⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00754485

DOI: 10.1007/s10436-009-0130-1

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