create a website

The Value of Private Information. (2004). Subrahmanyam, Avanidhar ; LIU, JUN ; Peleg, Ehud .
In: University of California at Los Angeles, Anderson Graduate School of Management.
RePEc:cdl:anderf:qt71t9z3w3.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 47

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Admati, A., 1985, A noisy rational-expectations equilibrium for multi-asset securities markets, Econometrica 53, 629-657.

  2. Admati, A., and P. Pïeiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.

  3. Admati, A., and P. Pïeiderer, 1990, Direct and indirect sale of information, Econometrica 58, 901-928.

  4. Admati, A.R., and P. Pïeiderer, 1987, Viable allocations of information in ïnancial markets, Journal of Economic Theory 43, 76-115.
    Paper not yet in RePEc: Add citation now
  5. Ausubel, L., 1990, Insider trading in a rational expectations economy, American Economic Review 80, 1022-1041.

  6. Bernardo, A. and K. Judd, 2000, Asset market equilibrium with general tastes, returns, and informational asymmetries, Journal of Financial Markets 3, 17-43.

  7. Bhattacharya, U., and M. Spiegel, 1991, Insiders, outsiders, and market breakdowns, Review of Financial Studies 4, 255-282.

  8. Bhushan, R., 1989, Firm characteristics and analyst following, Journal of Accounting and Economics 11, 255-274.

  9. Brennan, M., and A. Subrahmanyam, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics 38, 361-381.

  10. Brennan, M., and H. Cao, 1997, International portfolio investment ïows, Journal of Finance 52, 1851-1880.
    Paper not yet in RePEc: Add citation now
  11. Brown, D.P., and R. Jennings, 1990, On technical analysis, Review of Financial Studies 2, 527-551.
    Paper not yet in RePEc: Add citation now
  12. Chakravarty, S., and J. McConnell, 1999, Does insider trading really move stock prices?, Journal of Financial and Quantitative Analysis 34, 191-209.

  13. Core, J., and W. Guay, 1999, The use of equity grants to manage optimal equity incentive levels, Journal of Accounting and Economics 28, 151-184.

  14. Cornell, B., and E. Sirri, 1992, The reaction of investors and stock prices to insider trading, Journal of Finance 47, 1031-1059.

  15. Demsetz, H., and K. Lehn, 1985, The structure of corporate ownership: Causes and consequences, Journal of Political Economy 93, 1155-1177.

  16. Diamond, D., and R. Verrecchia, 1981, Information aggregation in a noisy rational-expectations economy, Journal of Financial Economics 9, 221-235.

  17. Foster, F., and S. Viswanathan, 1996, Strategic trading when agents forecast the forecasts of others, Journal of Finance 51, 1437-1478.

  18. Gompers, P., and A. Metrick, 2001, Institutional investors and equity prices, Quarterly Journal of Economics 116, 229-259.

  19. Grossman, S. and J. Stiglitz, 1980, On the impossibility of informationally eïcient markets, American Economic Review, v70, n3, 393-408.
    Paper not yet in RePEc: Add citation now
  20. Grundy, B., and M. McNichols, 1989, Trade and the revelation of prices through direct disclosure, Review of Financial Studies 2, 495-526.
    Paper not yet in RePEc: Add citation now
  21. Hadlock, C., 1998, Ownership, liquidity, and investment, Rand Journal of Economics 29, 487-508.

  22. Hayek, F., 1945, The use of knowledge in society, American Economic Review 70, 393-408.
    Paper not yet in RePEc: Add citation now
  23. Hirshleifer, J., 1971, The private and social value of information and the reward to inventive activity, American Economic Review 61, 561-574.

  24. Hong, H., and J. Stein, 2003, Diïerences of opinion, short-sales constraints, and market crashes, Review of Financial Studies 16, 487-525.

  25. Huberman, G., 2001, Familiarity breeds investment, Review of Financial Studies 14, 659680.

  26. Irvine, P., 2003, The incremental impact of analyst initiation of coverage, Journal of Corporate Finance 9, 431-451.

  27. Jones C., and O. Lamont, 2002, Short-sale constraints and stock returns, Journal of Financial Economics 66, 207-239.

  28. Kahl, M., J. Liu, and F. Longstaï, 2003, Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?, Journal of Financial Economics 67, 385-410.

  29. Kang, J., and R. Stulz, 1997, Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics 46, 3-28.

  30. Kim, O., and R. Verrecchia, 1991, Market reactions to anticipated public announcements, Journal of Financial Economics 30, 273-310.
    Paper not yet in RePEc: Add citation now
  31. Kyle, A., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.

  32. Leland, H., 1992, Insider trading: Should it be prohibited? Journal of Political Economy 100, 859-887.

  33. Liu, J., and F. Longstaï, 2003, Dynamic asset allocation with event risk, Journal of Finance 58, 231-259.

  34. Loewenstein, M., and G. Willard, 2000, Local martingales, arbitrage, and viability: Free snacks and cheap thrills, Economic Theory, 16, 135-161.

  35. Manove, M., 1989, The harm from insider trading and informed speculation, Quarterly Journal of Economics 104, 823-845.

  36. McConnell, J., and H. Servaes, 1990, Additional evidence on equity ownership and corporate value, Journal of Financial Economics 27, 595-612.

  37. Merton, R., 1971, Optimal consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373-413.
    Paper not yet in RePEc: Add citation now
  38. Meulbroek, L., An empirical analysis of illegal insider trading, 1992, Journal of Finance 47, 1661-1699.

  39. Moskowitz T., and A. Vissing-Jorgensen, The returns to entrepreneurial investment: A private equity premium puzzle?, American Economic Review 92 745-778. Ofek, E., and M. Richardson, 2003, DotCom mania: The rise and fall of Internet stock prices, Journal of Finance 58, 1113-1137.

  40. Peress, J., 2003, Wealth, information acquisition and portfolio choice, forthcoming, Review of Financial Studies.

  41. Pikovsky, I., and I. Karatzas, 1996, Anticipative portfolio optimization, Advances in Applied Probability 28, 10951122.
    Paper not yet in RePEc: Add citation now
  42. Rozeï, M., and A. Zaman, 1988, Market-eïciency and insider trading: New evidence, Journal of Business 61, 25-44.

  43. Seyhun, N., 1986, Insidersâ proïts, costs of trading, and market eïciency, Journal of Financial Economics 16, 189-212.
    Paper not yet in RePEc: Add citation now
  44. Seyhun, N., 1992, Why does aggregate insider trading predict future stock returns, Quarterly Journal of Economics 107, 1303-1331.

  45. Subrahmanyam, A., 1991, Risk aversion, market liquidity, and price eïciency, Review of Financial Studies 4, 417-441.
    Paper not yet in RePEc: Add citation now
  46. Verrecchia, R., 1982, Information acquisition in a noisy rational-expectations economy, Econometrica 50, 1415-1430.

  47. Vives, X., 1995, Short-term investment and the informational eïciency of the market, Review of Financial Studies 8, 125-170.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Information acquisition and learning from prices over the business cycle. (2014). Ohl, Björn ; Mäkinen, Taneli ; Mkinen, Taneli .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_946_14.

    Full description at Econpapers || Download paper

  2. Noise and aggregation of information in large markets. (2013). Garcia, Diego ; Uroevi, Branko.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:526-549.

    Full description at Econpapers || Download paper

  3. Rational expectations equilibrium with uncertain proportion of informed traders. (2013). Wang, Jun ; Song, Fengming ; Gao, Feng.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:387-413.

    Full description at Econpapers || Download paper

  4. Speculative dynamics in the term structure of interest rates. (2012). Nimark, Kristoffer.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1194.

    Full description at Econpapers || Download paper

  5. Liquidity and asset prices in rational expectations equilibrium with ambiguous information. (2011). Werner, Jan ; Ozsoylev, Han.
    In: Economic Theory.
    RePEc:spr:joecth:v:48:y:2011:i:2:p:469-491.

    Full description at Econpapers || Download paper

  6. The Real Effects of Financial Markets. (2011). Edmans, Alex ; Bond, Philip ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17719.

    Full description at Econpapers || Download paper

  7. Equilibrium Information Acquisition, Prediction Abilities and Asset Prices. (2011). Guo, Wen-Chung.
    In: Computational Economics.
    RePEc:kap:compec:v:37:y:2011:i:1:p:89-111.

    Full description at Econpapers || Download paper

  8. Higher order expectations, illiquidity, and short-term trading. (2011). Vives, Xavier ; Cespa, Giovanni.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0915.

    Full description at Econpapers || Download paper

  9. Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff. (2010). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00488481.

    Full description at Econpapers || Download paper

  10. Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity. (2010). Vives, Xavier ; Manzano, Carolina.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3137.

    Full description at Econpapers || Download paper

  11. Rational Attention Allocation Over the Business Cycle. (2009). Veldkamp, Laura ; Van Nieuwerburgh, Stijn ; Kacperczyk, Marcin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15450.

    Full description at Econpapers || Download paper

  12. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2009). Vives, Xavier ; Cespa, Giovanni.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7506.

    Full description at Econpapers || Download paper

  13. Testing Asymmetric-Information Asset Pricing Models. (2009). Ljungqvist, Alexander ; Kelly, Bryan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7180.

    Full description at Econpapers || Download paper

  14. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2009). Vives, Xavier ; Cespa, Giovanni.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2839.

    Full description at Econpapers || Download paper

  15. A Computational View of Market Efficiency. (2009). Lo, Andrew ; Hasanhodzic, Jasmina ; Viola, Emanuele .
    In: Papers.
    RePEc:arx:papers:0908.4580.

    Full description at Econpapers || Download paper

  16. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2008). Vives, Xavier ; Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:191.

    Full description at Econpapers || Download paper

  17. Amplification and asymmetry in crashes and frenzies. (2008). Ozsoylev, Han.
    In: Annals of Finance.
    RePEc:kap:annfin:v:4:y:2008:i:2:p:157-181.

    Full description at Econpapers || Download paper

  18. Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model. (2008). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00176630.

    Full description at Econpapers || Download paper

  19. Information Sales and Insider Trading with Long-lived Information. (2007). Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:174.

    Full description at Econpapers || Download paper

  20. Sudden Flight and True Sudden Stops. (2007). Warnock, Francis ; Rothenberg, Alexander.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp187.

    Full description at Econpapers || Download paper

  21. Dynamic trading and asset prices: Keynes vs. Hayek. (2007). Vives, Xavier ; Cespa, Giovanni.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0716.

    Full description at Econpapers || Download paper

  22. Financial Contagion and Attention Allocation. (2006). Mondria, Jordi.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-254.

    Full description at Econpapers || Download paper

  23. Sudden Flight and True Sudden Stops. (2006). Warnock, Francis ; Rothenberg, Alexander.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12726.

    Full description at Econpapers || Download paper

  24. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
    In: American Economic Review.
    RePEc:aea:aecrev:v:96:y:2006:i:3:p:552-576.

    Full description at Econpapers || Download paper

  25. Optimal research in financial markets with heterogeneous private information; a rational expectations model. (2005). Tinn, Katrin.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:6.

    Full description at Econpapers || Download paper

  26. Informational asymmetries and a multiplier effect on price correlation and trading. (2005). Pinheiro, Marcelo.
    In: Annals of Finance.
    RePEc:kap:annfin:v:1:y:2005:i:4:p:395-421.

    Full description at Econpapers || Download paper

  27. Characterizing Asymmetric Information in International Equity Markets. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: International Finance.
    RePEc:wpa:wuwpif:0405005.

    Full description at Econpapers || Download paper

  28. Noise and aggregation of information in large markets. (2004). Garcia, Diego ; Urosevic, Branko.
    In: Economics Working Papers.
    RePEc:upf:upfgen:785.

    Full description at Econpapers || Download paper

  29. Information Markets and the Comovement of Asset Prices. (2004). Veldkamp, Laura.
    In: Working Papers.
    RePEc:ste:nystbu:04-18.

    Full description at Econpapers || Download paper

  30. Essays on Speculation. (2004). Zurita, Felipe.
    In: Levine's Working Paper Archive.
    RePEc:cla:levarc:618897000000000849.

    Full description at Econpapers || Download paper

  31. International Equity Flows and Returns: A Quantitative Equilibrium Approach. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-42.

    Full description at Econpapers || Download paper

  32. Giffen goods and market making. (2003). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:681.

    Full description at Econpapers || Download paper

  33. A comparison of stock market mechanisms. (2003). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:545.

    Full description at Econpapers || Download paper

  34. Giffen Goods and Market Making. (2003). Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:97.

    Full description at Econpapers || Download paper

  35. A Comparison of Stock Market Mechanism. (2003). Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:94.

    Full description at Econpapers || Download paper

  36. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows. (2003). Watanabe, Masahiro ; Goetzmann, William ; Brown, Stephen ; Hiraki, Takato ; Shirishi, Noriyoshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9470.

    Full description at Econpapers || Download paper

  37. Short-term investment and equilibrium multiplicity. (2002). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:520.

    Full description at Econpapers || Download paper

  38. On the Possibility of Stock Market Crashes in the Absence of Portfolio Insurance. (1999). Barlevy, Gadi ; Veronesi, Pietro.
    In: Discussion Papers.
    RePEc:nwu:cmsems:1252.

    Full description at Econpapers || Download paper

  39. A rational expectations model of financial contagion. (1998). Pritsker, Matthew ; Kodres, Laura E..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1998-48.

    Full description at Econpapers || Download paper

  40. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0190.

    Full description at Econpapers || Download paper

  41. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0189.

    Full description at Econpapers || Download paper

  42. Information quality, performance measurement, and security demand in rational expectations economies. (1995). Noe, Thomas ; Ramamurtie, Buddhavarapu Sailesh .
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-4.

    Full description at Econpapers || Download paper

  43. Bid-Ask Spreads with Indirect Competition Among Specialists. (1994). Jackson, Matthew ; Gehrig, Thomas.
    In: Discussion Papers.
    RePEc:nwu:cmsems:1107.

    Full description at Econpapers || Download paper

  44. Differential information and dynamic behavior of stock trading volume. (1994). He, Hua ; He, Hua., .
    In: Working papers.
    RePEc:mit:sloanp:2531.

    Full description at Econpapers || Download paper

  45. Insider trading and market manipulations--existence and uniqueness of equilibrium. (1991). Rochet, Jean ; Vila, Jean-Luc., .
    In: Working papers.
    RePEc:mit:sloanp:2366.

    Full description at Econpapers || Download paper

  46. Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros. (1991). Caballe, Jordi.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:15:y:1991:i:1:p:3-34.

    Full description at Econpapers || Download paper

  47. Crash-Testing the Efficient Market Hypothesis. (1988). French, Kenneth .
    In: NBER Chapters.
    RePEc:nbr:nberch:10957.

    Full description at Econpapers || Download paper

  48. Banking panics, information, and rational expectations equilibrium. (1988). .
    In: Working Papers.
    RePEc:fip:fedmwp:320.

    Full description at Econpapers || Download paper

  49. Speculative Behavior of Institutional Investors. (1986). Shiller, Robert ; Pound, John .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1964.

    Full description at Econpapers || Download paper

  50. Asset Prices in a Time Series Model with Disparately Informed, Competative Traders. (1986). Singleton, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1897.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-02 22:02:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.