Testing Financial Market Equilibrium under Asymmetric Information

1992 ◽  
Vol 100 (2) ◽  
pp. 317-348 ◽  
Author(s):  
Robert H. Litzenberger ◽  
Vicente Madrigal
Keyword(s):  
Asymmetric Information ◽  
Financial Market ◽  
Market Equilibrium

Large Shareholder Activism, Risk Sharing, and Financial Market Equilibrium

1994 ◽  
Vol 102 (6) ◽  
pp. 1097-1130 ◽  
Author(s):  
Anat R. Admati ◽  
Paul Pfleiderer ◽  
Josef Zechner
Keyword(s):  
Financial Market ◽  
Risk Sharing ◽  
Market Equilibrium ◽  
Shareholder Activism ◽  
Large Shareholder

scholarly journals Behavioural Present Value Defined as Fuzzy Number – a New Approach

2015 ◽  
Vol 15 (2) ◽  
pp. 27-41 ◽  
Author(s):  
Krzysztof Piasecki ◽  
Joanna Siwek
Keyword(s):  
Financial Market ◽  
Fuzzy Number ◽  
Formal Model ◽  
Market Equilibrium ◽  
Present Value ◽  
New Approach ◽  
Behavioural Factors ◽  
The Impact ◽  
Numerical Case Study

Abstract The behavioural present value is defined as a fuzzy number assessed under the impact of chosen behavioural factors. The first formal model turned out to be burdened with some formal defects which are finally corrected in the presented article. In this way a new modified formal model of a behavioural present value is obtained. New model of the behavioural present value is used to explain the phenomenon of market equilibrium on the efficient financial market remaining in the state of financial imbalance. These considerations are illustrated by means of extensive numerical case study.

scholarly journals Credit Risk Contagion Based on Asymmetric Information Association

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-11 ◽  
Author(s):  
Shanshan Jiang ◽  
Hong Fan ◽  
Min Xia
Keyword(s):  
Asymmetric Information ◽  
Credit Risk ◽  
Financial Market ◽  
Risk Attitude ◽  
Individual Risk ◽  
Complex Network Theory ◽  
Structure Information ◽  
The Individual ◽  
Credit Risk Contagion ◽  
Information Association

The study of the contagion law of credit risk is very important for financial market supervision. The existing credit risk contagion models based on complex network theory assume that the information between individuals in the network is symmetrical and analyze the proportion of the individuals infected by the credit risk from a macro perspective. However, how individuals are infected from a microscopic perspective is not clear, besides the level of the infection of the individuals is characterized by only two states: completely infected or not infected, which is not realistic. In this paper, a credit risk contagion model based on asymmetric information association is proposed. The model can effectively describe the correlation among individuals with credit risk. The model can analyze how the risk individuals are infected in the network and can effectively reflect the risk contagion degree of the individual. This paper further analyzes the influence of network structure, information association, individual risk attitude, financial market supervision intensity, and individual risk resisting ability on individual risk contagion. The correctness of the model is verified by theoretical deduction and numerical simulation.

scholarly journals Performance of American and Russian joint stock companies on financial market. A microstructure perspective

Equilibrium ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 819 ◽  
Author(s):  
Magdalena Osińska ◽  
Andrzej Dobrzyński ◽  
Yochanan Shachmurove
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
Stock Exchange ◽  
Market Equilibrium ◽  
Economic Sanctions ◽  
Transmission Mechanism ◽  
Before And After ◽  
Ukrainian Crisis ◽  
The U.S

This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.

Portfolio Insurance and Financial Market Equilibrium

1989 ◽  
Vol 62 (4) ◽  
pp. 455 ◽  
Author(s):  
Michael J. Brennan ◽  
Eduardo S. Schwartz
Keyword(s):  
Financial Market ◽  
Market Equilibrium ◽  
Portfolio Insurance
Sign in / Sign up

Export Citation Format

Share Document