To some two\|period economies with countable infinite state spaces, the existence of expectation equilibrium of real asset economies with transaction costs is given. This work extends the researches of Zame in 1993.
A class of lifetime distributions, new better than equilibrium in expectation （NBEE）, and its dual, new worse than equilibrium in expectation （NWEE）, are studied based on the comparison of the expectations of life...A class of lifetime distributions, new better than equilibrium in expectation （NBEE）, and its dual, new worse than equilibrium in expectation （NWEE）, are studied based on the comparison of the expectations of lifetime X and its equilibrium Xo. The relationships of the NBEE （NWEE） and other lifetime distribution classes are discussed. It is proved that the NBEE is very large, and increasing failure rate （IFR）, new better than used （NBU） and the L class are its subclasses. The closure properties under two kinds of reliability operations, namely, convolution and mixture, are investigated. Furthermore, a Poisson shock model and a special cumulative model are also studied, in which the necessary and sufficient conditions for the NBEE （NWEE） lifetime distribution of the systems are established. In the homogenous Poisson shock model, the system lifetime belongs to NBEE（NWEE） if and only if the corresponding discrete failure distribution belongs to the discrete NBEE（NWEE）. While in the cumulative model, the system has an NBEE lifetime if and only if the stochastic threshold of accumulated damage is NBEE.展开更多
We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas...We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas non-fundamental information is related to the noise caused by traders'sentiment.Opening access to non-fundamental information increases the coordination possibilities among sentiment-informed traders and can yield two equilibrium-displaying properties:substitutability and complementarity.We find that the dominated mass of one type of informed trader can attenuate their information advantage,resulting in low ex ante expected utility associated with such traders.We further find that there is a crowding-out effect in information acquisition between the two types of informed traders,which offers some significant insights in explaining why bubbles burst when market sentiment is dominant.展开更多
This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume tw...This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume two of the three risky assets share no common fundamental factors,but are connected by one intermediate asset via cross fundamentals.Through this channel,investors transmit fundamental risk from one asset to another by dint of the cross fundamentals.This mechanism causes liquidity comovement and subsequently becomes a source of market crisis:Through the contagion mechanism,an initial liquidity shock in one asset can result in a drop tendency in liquidity and price informativeness for another asset.Such comovement in liquidity offers a new explanation for idiosyncratic assets in financial contagion.展开更多
Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians,...Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with heterogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are associated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.展开更多
文摘To some two\|period economies with countable infinite state spaces, the existence of expectation equilibrium of real asset economies with transaction costs is given. This work extends the researches of Zame in 1993.
基金The National Natural Science Foundation of China(No. 10801032)
文摘A class of lifetime distributions, new better than equilibrium in expectation （NBEE）, and its dual, new worse than equilibrium in expectation （NWEE）, are studied based on the comparison of the expectations of lifetime X and its equilibrium Xo. The relationships of the NBEE （NWEE） and other lifetime distribution classes are discussed. It is proved that the NBEE is very large, and increasing failure rate （IFR）, new better than used （NBU） and the L class are its subclasses. The closure properties under two kinds of reliability operations, namely, convolution and mixture, are investigated. Furthermore, a Poisson shock model and a special cumulative model are also studied, in which the necessary and sufficient conditions for the NBEE （NWEE） lifetime distribution of the systems are established. In the homogenous Poisson shock model, the system lifetime belongs to NBEE（NWEE） if and only if the corresponding discrete failure distribution belongs to the discrete NBEE（NWEE）. While in the cumulative model, the system has an NBEE lifetime if and only if the stochastic threshold of accumulated damage is NBEE.
基金National Natural Science Foundation of China(Grant No.71371023,No.71371024,No.71771008).
文摘We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas non-fundamental information is related to the noise caused by traders'sentiment.Opening access to non-fundamental information increases the coordination possibilities among sentiment-informed traders and can yield two equilibrium-displaying properties:substitutability and complementarity.We find that the dominated mass of one type of informed trader can attenuate their information advantage,resulting in low ex ante expected utility associated with such traders.We further find that there is a crowding-out effect in information acquisition between the two types of informed traders,which offers some significant insights in explaining why bubbles burst when market sentiment is dominant.
基金supported by China Postdoctoral Science Foundation under Grant No.2019M660424the National Natural Science Foundation of China under Grant Nos.71771008 and 71803029Guangdong Province Philosophy and Social Science Planning Project under Grant No.GD21YYJ10。
文摘This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume two of the three risky assets share no common fundamental factors,but are connected by one intermediate asset via cross fundamentals.Through this channel,investors transmit fundamental risk from one asset to another by dint of the cross fundamentals.This mechanism causes liquidity comovement and subsequently becomes a source of market crisis:Through the contagion mechanism,an initial liquidity shock in one asset can result in a drop tendency in liquidity and price informativeness for another asset.Such comovement in liquidity offers a new explanation for idiosyncratic assets in financial contagion.
文摘Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with heterogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are associated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.
