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- W1569598589 abstract "This paper models the effects constraints on short selling and on credit facilities engender on the scope for herding and on the speed of learning in an imperfect and asymmetric information structure. We run a bayesian sequential learning game that nests Avery and Zemsky (1998)'s information structure and Diamond and Verrecchia (1987)'s short sale constraints mechanism. We first clarify and extend Avery and Zemsky's results by proving the existence and uniqueness of a zero-profit bid equilibrium when agents are herding and by showing how learning is different during herding periods for market participants. Market frictions are introduced in a second time. Agents are constrained on their credit facilities or their ability to short sell. The constraints affect the Informative Content of Trades (ICT) in the game, i.e. the probability that a trade is ordered by an informed trader, by affecting differently informed and uninformed traders. From the selling side of the market, when the Informative Content of Sell decisions (ICS) increases, the threat to deal at the bid with an informed trader increases. Consequently, the bid decreases. This reduces the scope for herd behaviors. Moreover, the speed of adjustment of the market price to private information is increased. Symmetric results are found for the buying side of the market when the Informative Content of Purchase (ICP) increases. Overall, market information efficiency is improved when market frictions are alleviated such that the ICT of the market increases." @default.
- W1569598589 created "2016-06-24" @default.
- W1569598589 creator A5007511866 @default.
- W1569598589 date "2002-01-01" @default.
- W1569598589 modified "2023-09-24" @default.
- W1569598589 title "Learning and Herding on Financial Markets: The Impact of Market Frictions" @default.
- W1569598589 doi "https://doi.org/10.2139/ssrn.301538" @default.
- W1569598589 hasPublicationYear "2002" @default.
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