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Tables of Contents for Asset Pricing Under Asymmetric Information
Chapter/Section Title
Page #
Page Count
List of figures
ix
Preface
xi
Information, Equilibrium, and Efficiency Concepts
1
29
Modeling Information
2
12
Rational Expectations Equilibrium and Bayesian Nash Equilibrium
14
7
Rational Expectations Equilibrium
14
2
Bayesian Nash Equilibrium
16
5
Allocative and Informational Efficiency
21
9
No-Trade Theorems, Competitive Asset Pricing, Bubbles
30
30
No-Trade Theorems
30
7
Competitive Asset Prices and Market Completeness
37
10
Static Two-Period Models
38
6
Dynamic Models-Complete Equitization versus Dynamic Completeness
44
3
Bubbles
47
13
Growth Bubbles under Symmetric Information
48
7
Information Bubbles
55
5
Classification of Market Microstructure Models
60
38
Simultaneous Demand Schedule Models
65
14
Competitive REE
65
7
Strategic Share Auctions
72
7
Sequential Move Models
79
19
Screening Models a la Glosten
79
8
Sequential Trade Models a la Glosten and Milgrom
87
6
Kyle-Models and Signaling Models
93
5
Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume
98
49
Technical Analysis - Inferring Information from Past Prices
99
14
Technical Analysis - Evaluating New Information
100
3
Technical Analysis about Fundamental Value
103
10
Serial Correlation Induced by Learning and the Infinite Regress Problem
113
4
Competitive Multiperiod Models
117
13
Inferring Information from Trading Volume in a Competitive Market Order Model
130
6
Strategic Multiperiod Market Order Models with a Market Maker
136
11
Herding and Informational Cascades
147
18
Herding due to Payoff Externalities
147
1
Herding due to Information Externalities
148
9
Exogenous Sequencing
149
4
Endogenous Sequencing, Real Options, and Strategic Delay
153
4
Reputational Herding and Anti-herding in Reputational Principal-Agent Models
157
8
Exogenous Sequencing
158
5
Endogenous Sequencing
163
2
Herding in Finance, Stock Market Crashes, Frenzies, and Bank Runs
165
56
Stock Market Crashes
166
24
Crashes in Competitive REE Models
168
9
Crashes in Sequential Trade Models
177
7
Crashes and Frenzies in Auctions and War of Attrition Games
184
6
Keynes' Beauty Contest, Investigative Herding, and Limits of Arbitrage
190
21
Unwinding due to Short Horizons
192
6
Unwinding due to Risk Aversion in Incomplete Markets Settings
198
6
Unwinding due to Principal-Agent Problems
204
7
Firms' Short-Termism
211
2
Bank Runs and Financial Crisis
213
8
References
221
12
Index
233