Abstract

http://ssrn.com/abstract=2154383
 
 

Citations (2)



 


 



The Pricing Effects of Ambiguous Private Information


Scott Condie


Brigham Young University - Department of Economics

Jayant V. Ganguli


University of Essex - Department of Economics

September 30, 2012

Midwest Finance Association 2013 Annual Meeting Paper

Abstract:     
Ambiguous private information leads to informational inefficiency of market prices in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed traders require a premium to hold assets. This premium is increasing in the riskiness of the asset and leads to excess volatility, price swings, and abrupt volatility and illiquidity variation across informational efficiency regimes. Public information aff ects the informational efficiency of price and can also lead to abrupt changes in volatility and illiquidity.

Number of Pages in PDF File: 43

Keywords: ambiguity, partial revelation, asset pricing

JEL Classification: G1, G12, G14

working papers series


Download This Paper

Date posted: September 30, 2012 ; Last revised: January 25, 2013

Suggested Citation

Condie, Scott and Ganguli, Jayant V., The Pricing Effects of Ambiguous Private Information (September 30, 2012). Midwest Finance Association 2013 Annual Meeting Paper. Available at SSRN: http://ssrn.com/abstract=2154383 or http://dx.doi.org/10.2139/ssrn.2154383

Contact Information

Scott Condie (Contact Author)
Brigham Young University - Department of Economics ( email )
130 Faculty Office Bldg.
Provo, UT 84602-2363
United States
Jayant V. Ganguli
University of Essex - Department of Economics ( email )
Wivenhoe Park
Colchester CO4 3SQ
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 273
Downloads: 54
Download Rank: 215,680
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 1.547 seconds