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- W1556617452 abstract "In this paper, we study a dynamic Gaussian financial market model in which the traders form higher-order expectations about the fundamental value of a single risky asset. Rational uninformed traders are introduced into an otherwise standard differential information economy to investigate the impact of asymmetric information. In a two-period economy, there is a unique linear equilibrium; beauty contests under asymmetric information do not introduce excess volatility driven by self-fulfilling multiple equilibria. Under certain conditions, there is a nonmonotonic relationship between price volatility and the proportion of uninformed traders." @default.
- W1556617452 created "2016-06-24" @default.
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- W1556617452 date "2010-01-01" @default.
- W1556617452 modified "2023-10-16" @default.
- W1556617452 title "Beauty Contests and Asset Prices under Asymmetric Information" @default.
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- W1556617452 doi "https://doi.org/10.2139/ssrn.1541384" @default.
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