search query: @author Bossaerts, P. / total: 6
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| Author: | Biais, B. Bossaerts, P. |
| Title: | Asset prices and trading volume in a beauty contest. |
| Journal: | Review of Economic Studies
1998 : APR, VOL. 65(2):223, p. 307-340 |
| Index terms: | ASSETS CAPITAL ASSET PRICING ECONOMETRIC MODELS |
| Language: | eng |
| Abstract: | Speculators buy an asset hoping to sell it later to investors with higher private valuations. If agents are uncertain about the distribution of private valuations and about the beliefs of others about this distribution, a beauty contest with an infinite hierarchy of beliefs arises. This article shows that common knowledge of the "beliefs formation rule" simplifies the beliefs hierarchy while allowing for disagreement among agents. The authors analyse the resulting speculation in a stylized asset market. Only statistics that relate volume and volatility, or volume and changes in best offers, have the necessary discriminatory power. |
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