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| ファイル | 記述 | サイズ | フォーマット | |
|---|---|---|---|---|
| 74.143.pdf | 95.85 kB | Adobe PDF | 見る/開く |
| タイトル: | Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price |
| 著者: | Nishide, Katsumasa |
| 著者名の別形: | ニシデ, カツマサ |
| キーワード: | Market microstructure CARA-Normal private information cost of capital multiple equilibria |
| 発行日: | 2005 |
| 出版者: | Graduate School of Economics, Kyoto University |
| 引用: | Katsumasa Nishide; “Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price”, The Kyoto Economic Review, Vol. 74, pp.143-161 (2005) . |
| 誌名: | The Kyoto Economic Review |
| 巻: | 74 |
| 号: | 1 |
| 開始ページ: | 143 |
| 終了ページ: | 161 |
| 抄録: | We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multiple equilibria, and that even a small change of parameter setting may cause big price movements. It is also shown that, in contrast to Easley and O’Hara (2004), the shift of information from private to public may increase the required return of the risky asset. |
| DOI: | 10.11179/ker.74.143 |
| URI: | http://hdl.handle.net/2433/24843 |
| 出現コレクション: | Vol.74 No.1 |
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