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Asset Pricing under Asymmetric Information - Bubbles, Crashes, Technical Analysis, and Herding
by MARKUS K.BRUNNERMEIER
First published 2001
Oxford University Press
ISBN 0-19-829698-3
261 pages
CONTENTS
List of figures ix
Preface xi
1.Information,Equilibrium,andEfficiency Concepts 1
1.1.Modeling Information 2
1.2.Rational Expectations Equilibrium and
Bayesian Nash Equilibrium 14
1.2.1.Rational Expectations Equilibrium 14
1.2.2.Bayesian Nash Equilibrium 16
1.3.Allocative and InformationalEfficiency 21
2.No-Trade Theorems,Competitive Asset Pricing,Bubbles 30
2.1.No-Trade Theorems 30
2.2.Competitive Asset Pricesand Market Completeness 37
2.2.1.Static Two-Period Models 38
2.2.2.Dynamic Models–Complete Equitization versus
Dynamic Completeness 44
2.3 Bubbles 47
2.3.1.Growth Bubbles underSymmetric Information 48
2.3.2.Information Bubbles 55
3.Classification of Market Microstructure Models 60
3.1.Simultaneous Demand Schedule Models 65
3.1.1.Competitive REE 65
3.1.2.Strategic Share Auctions 72
3.2.Sequential Move Models 79
3.2.1.Screening Modelsa` la Glosten 79
3.2.2.Sequential Trade Modelsa` la Glosten and Milgrom 87
3.2.3.Kyle-Models and Signaling Models 93
4.Dynamic Trading Models,Technical Analysis,and
the Role of Trading Volume 98
4.1.Technical Analysis–Inferring Information
from Past Prices 99
4.1.1.Technical Analysis–Evaluating New Information100
4.1.2.Technical Analysis about Fundamental Value 103viii Contents
4.2.Serial Correlation Induced by Learning and the
Infinite Regress Problem 113
4.3.Competitive Multiperiod Models 117
4.4.Inferring Informationfrom Trading Volume in a
Competitive Market Order Model 130
4.5.Strategic Multiperiod Market Order Models
with a Market Maker 136
5.Herding and InformationalCascades 147
5.1.Herding due to Payoff Externalities 147
5.2.Herding due to InformationExternalities 148
5.2.1.Exogenous Sequencing 149
5.2.2.Endogenous Sequencing,Real Options,
and Strategic Delay 153
5.3.Reputational Herding and Anti-herding in
Reputational Principal–Agent Models 157
5.3.1.Exogenous Sequencing 158
5.3.2.Endogenous Sequencing 163
6.Herding in Finance,Stock Market Crashes,Frenzies,
and Bank Runs 165
6.1.Stock Market Crashes 166
6.1.1.Crashes in Competitive REE Models 168
6.1.2.Crashes in Sequential Trade Models 177
6.1.3.Crashes and Frenzies in Auctions and War of
Attrition Games 184
6.2.Keynes’Beauty Contest,Investigative Herding,and
Limits of Arbitrage 190
6.2.1.Unwinding due to Short Horizons 192
6.2.2.Unwinding due to Risk Aversion in
Incomplete Markets Settings 198
6.2.3.Unwinding due to Principal–Agent Problems 204
6.3.Firms’Short-Termism 211
6.4.Bank Runs and Financial Crisis 213
References 221
Index 233
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