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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2014.8
- 수록면
- 243 - 264 (22page)
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초록· 키워드
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The paper investigates how the ‘degree of ambiguity’ affects liquidity risk, expected price sensitivity, market depth, and price volatility in asset markets. We analyze asset market equilibrium under two-tiered asymmetric information by introducing uninformed investors with ambiguity into the model of Grossman and Stiglitz (1980) without endogenous information acquisition.
목차
1. INTRODUCTION
2. THE MODEL
3. ASSET MARKET EQUILIBRIUM
4. EFFECTS OF AMBIGUITY ON ASSET MARKET EQUILIBRIUM
5. CONCLUSION
REFERENCES
참고문헌 (16)
참고문헌 신청
1. [학술지(정기간행물)] - Admati, A / 1985 / A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets / Econometrica 53 (3) : 629 ~ 658
2. [학술지(정기간행물)] - Cao, H / 2005 / Model Uncertainty, Limited Market Participation, and Asset Prices / Review of Financial Studies 18 : 1219 ~ 1251
3. [학술지(정기간행물)] - Diamond, D. / 1981 / Information Aggregation in a Noisy Rational Expectations Economy / Journal of Financial Economics 9 : 221 ~ 235
4. [학술지(정기간행물)] - Easley, D / 2009 / Ambiguity and Nonparticipation : The Role of Regulation / Review of Financial Studies 22 (5) : 1817 ~ 1843
5. [학술지(정기간행물)] - Easley, D. / 2010 / Microstructure and Ambiguity / Journal of Finance 65 (5) : 1817 ~ 1846
2. [학술지(정기간행물)] - Cao, H / 2005 / Model Uncertainty, Limited Market Participation, and Asset Prices / Review of Financial Studies 18 : 1219 ~ 1251
3. [학술지(정기간행물)] - Diamond, D. / 1981 / Information Aggregation in a Noisy Rational Expectations Economy / Journal of Financial Economics 9 : 221 ~ 235
4. [학술지(정기간행물)] - Easley, D / 2009 / Ambiguity and Nonparticipation : The Role of Regulation / Review of Financial Studies 22 (5) : 1817 ~ 1843
5. [학술지(정기간행물)] - Easley, D. / 2010 / Microstructure and Ambiguity / Journal of Finance 65 (5) : 1817 ~ 1846
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UCI(KEPA) : I410-ECN-0101-2015-300-002825772