The more we know, the less we agree: public announcements and higher-order expectations
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Péter Kondor, 2005. "The more we know, the less we agree: public announcements and higher-order expectations," FMG Discussion Papers dp532, Financial Markets Group.
References listed on IDEAS
- Adam, Klaus, 2007.
"Optimal monetary policy with imperfect common knowledge,"
Journal of Monetary Economics, Elsevier, vol. 54(2), pages 267-301, March.
- Klaus Adam, 2003. "Optimal Monetary Policy with Imperfect Common Knowledge," Computing in Economics and Finance 2003 263, Society for Computational Economics.
- Adam, Klaus, 2004. "Optimal Monetary Policy with Imperfect Common Knowledge," CEPR Discussion Papers 4594, C.E.P.R. Discussion Papers.
- Adam, Klaus, 2003. "Optimal Monetary Policy with Imperfect Common Knowledge," CFS Working Paper Series 2003/12, Center for Financial Studies (CFS).
- Klaus Adam, 2004. "Optimal Monetary Policy with Imperfect Common Knowledge," Econometric Society 2004 North American Winter Meetings 24, Econometric Society.
- Kim, O & Verrecchia, Re, 1991. "Trading Volume And Price Reactions To Public Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 302-321.
- Franklin Allen & Stephen Morris & Hyun Song Shin, 2003.
"Beauty Contests, Bubbles and Iterated Expectations in Asset Markets,"
Cowles Foundation Discussion Papers
1406, Cowles Foundation for Research in Economics, Yale University.
- Franklin Allen & Stephen Morris & Hyun Song Shin, 2003. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," NajEcon Working Paper Reviews 391749000000000553, www.najecon.org.
- Stephen Morris & Franklin Allen & Hyun Song Shin, 2004. "Beauty Contests, Bubbles and Iterated Expectations in Asset Markets," Yale School of Management Working Papers ysm346, Yale School of Management.
- Kandel, Eugene & Pearson, Neil D, 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 831-872, August.
- Hyun Song Shin & Jeffery D. Amato, 2003.
"Public and private information in monetary policy models,"
BIS Working Papers
138, Bank for International Settlements.
- Hyun Song Shin & Jeffery D. Amato, 2003. "Public and Private Information in Monetary Policy Models," Computing in Economics and Finance 2003 38, Society for Computational Economics.
- Hyun Song Shin & Jeffery D. Amato, 2004. "Public and Private Information in Monetary Policy Models," Econometric Society 2004 North American Winter Meetings 59, Econometric Society.
- Jeffery Amato & Hyun Song Shin, 2003. "Public and Private Information in Monetary Policy Models," Levine's Bibliography 666156000000000092, UCLA Department of Economics.
- Love, Ryan & Payne, Richard, 2008.
"Macroeconomic News, Order Flows, and Exchange Rates,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 467-488, June.
- Love, Ryan & Payne, Richard, 2003. "Macroeconomic news, order flows and exchange rates," LSE Research Online Documents on Economics 24901, London School of Economics and Political Science, LSE Library.
- Richard Payne, 2003. "Macroeconomic news, order flows and exchange rates," FMG Discussion Papers dp475, Financial Markets Group.
- Brunnermeier, Markus K., 2001. "Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding," OUP Catalogue, Oxford University Press, number 9780198296980.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"How is Macro News Transmitted to Exchange Rates?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596,
World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
- Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
- Christian Hellwig, 2002. "Public Announcements, Adjustment Delays, and the Business Cycle (November 2002)," UCLA Economics Online Papers 208, UCLA Department of Economics.
- Backé, Peter, 2003. "Optimal monetary policy with imperfect common knowledge," Working Paper Series 223, European Central Bank.
- Paul R. Milgrom, 1981.
"Good News and Bad News: Representation Theorems and Applications,"
Bell Journal of Economics, The RAND Corporation, vol. 12(2), pages 380-391, Autumn.
- Paul R. Milgrom, 1979. "Good Nevs and Bad News: Representation Theorems and Applications," Discussion Papers 407R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Foster, F Douglas & Viswanathan, S, 1996. "Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-1478, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Börgers, Tilman & Hernando-Veciana, Angel & Krähmer, Daniel, 2013.
"When are signals complements or substitutes?,"
Journal of Economic Theory, Elsevier, vol. 148(1), pages 165-195.
- Börgers, Tilman & Hernando-Veciana, Ángel & Krähmer, Daniel, 2007. "When are signals complements or substitutes?," UC3M Working papers. Economics we072111, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Börgers, Tilman & Hernando-Veciana, Angel & Krähmer, Daniel, 2010. "When are Signals Complements or Substitutes?," MPRA Paper 29124, University Library of Munich, Germany.
- Tilman Borgers & Angel Hernanco-Veciana & Daniel Krohmer, 2010. "When are Signals Complements or Substitutes," Discussion Papers 1488, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Giovanni Cespa & Xavier Vives, 2012.
"Dynamic Trading and Asset Prices: Keynes vs. Hayek,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(2), pages 539-580.
- Cespa, Giovanni & Vives, Xavier, 2007. "Dynamic trading and asset prices: Keynes vs. Hayek," IESE Research Papers D/716, IESE Business School.
- Giovanni Cespa & Xavier Vives, 2008. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CSEF Working Papers 191, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Vives, Xavier & Cespa, Giovanni, 2009. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CEPR Discussion Papers 7506, C.E.P.R. Discussion Papers.
- Giovanni Cespa & Xavier Vives, 2009. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CESifo Working Paper Series 2839, CESifo.
- Camille Cornand & Frank Heinemann, 2008.
"Optimal Degree of Public Information Dissemination,"
Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, April.
- Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, vol. 118(528), pages 718-742, April.
- Camille Cornand & Frank Heinemann, 2004. "Optimal Degree of Public Information Dissemination," CESifo Working Paper Series 1353, CESifo.
- Camille Cornand, 2006. "Optimal Degree of Public Information Dissemination," Post-Print halshs-00137529, HAL.
- Cornand, Camille & Heinemann, Frank, 2006. "Optimal Degree of Public Information Dissemination," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 158, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Camille Cornand, 2006. "Optimal Degree of Public Information Dissemination," Post-Print halshs-00137519, HAL.
- Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Post-Print hal-00279244, HAL.
- Camille Cornand, 2006. "Optimal Degree of Public Information Dissemination," Post-Print halshs-00137532, HAL.
- András Simonovits, 2006. "Social Security Reform in the US: Lessons from Hungary," CERS-IE WORKING PAPERS 0602, Institute of Economics, Centre for Economic and Regional Studies, revised 24 Apr 2006.
- Iván Major, 2006. "Why do (or do not) banks share customer information? A comparison of mature private credit markets and markets in transition," CERS-IE WORKING PAPERS 0603, Institute of Economics, Centre for Economic and Regional Studies, revised 24 Apr 2006.
- Kathryn M. E. Dominguez & Freyan Panthaki, 2007.
"The influence of actual and unrequited interventions,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 171-200.
- Kathryn M.E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," NBER Working Papers 12953, National Bureau of Economic Research, Inc.
- Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
- Baeriswyl, Romain, 2007. "Central Bank's Action and Communication," Discussion Papers in Economics 1381, University of Munich, Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Péter Kondor, 2009. "The more we know, the less we agree: Higher-order expectations and public announcements," 2009 Meeting Papers 1018, Society for Economic Dynamics.
- Philippe Bacchetta & Eric Van Wincoop, 2008.
"Higher Order Expectations in Asset Pricing,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
- Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
- Philippe Bacchetta & Eric van Wincoop, 2004. "Higher Order Expectations in Asset Pricing," Working Papers 04.03, Swiss National Bank, Study Center Gerzensee.
- Bacchetta, Philippe & van Wincoop, Eric, 2008. "Higher Order Expectations in Asset Pricing," CEPR Discussion Papers 6648, C.E.P.R. Discussion Papers.
- Philippe BACCHETTA & Eric VAN WINCOOP, 2004. "Higher Order Expectations in Asset Pricing," FAME Research Paper Series rp110, International Center for Financial Asset Management and Engineering.
- Hyun Song Shin & Jeffery D. Amato, 2003.
"Public and Private Information in Monetary Policy Models,"
Computing in Economics and Finance 2003
38, Society for Computational Economics.
- Hyun Song Shin & Jeffery D. Amato, 2004. "Public and Private Information in Monetary Policy Models," Econometric Society 2004 North American Winter Meetings 59, Econometric Society.
- Hyun Song Shin & Jeffery D. Amato, 2003. "Public and private information in monetary policy models," BIS Working Papers 138, Bank for International Settlements.
- Jeffery Amato & Hyun Song Shin, 2003. "Public and Private Information in Monetary Policy Models," Levine's Bibliography 666156000000000092, UCLA Department of Economics.
- Kondor, Péter, 2011. "The more we know on the fundamental, the less we agree on the price," CEPR Discussion Papers 8455, C.E.P.R. Discussion Papers.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Hehui JIN, 2007. "Nominal Interest Rate Rules under Heterogeneous Beliefs," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 115(3), pages 403-442.
- Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012.
"Price adjustment to news with uncertain precision,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
- Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph, 2008. "Price adjustment to news with uncertain precision," CFS Working Paper Series 2008/28, Center for Financial Studies (CFS).
- Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2011. "Price adjustment to news with uncertain precision," CFR Working Papers 08-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph, 2008. "Price adjustment to news with uncertain precision," CFR Working Papers 08-04, University of Cologne, Centre for Financial Research (CFR).
- Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," FRU Working Papers 2008/01, University of Copenhagen. Department of Economics. Finance Research Unit.
- Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," SFB 649 Discussion Papers SFB649DP2008-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph, 2008. "Price adjustment to news with uncertain precision," SFB 649 Discussion Papers 2008-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Guido Lorenzoni, 2009.
"A Theory of Demand Shocks,"
American Economic Review, American Economic Association, vol. 99(5), pages 2050-2084, December.
- Guido Lorenzoni, 2006. "A Theory of Demand Shocks," NBER Working Papers 12477, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
- Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
- Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
- Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
- Leonardo Melosi, 2011. "Public's Inflation Expectations and Monetary Policy," 2011 Meeting Papers 1151, Society for Economic Dynamics.
- Elizabeth Demers & Clara Vega, 2008.
"Soft information in earnings announcements: news or noise?,"
International Finance Discussion Papers
951, Board of Governors of the Federal Reserve System (U.S.).
- Elizabeth Demers & Clara Vega, 2009. "Soft Information in Earnings Announcements: News or Noise?," 2009 Meeting Papers 80, Society for Economic Dynamics.
- Hiroki Arato & Tomoya Nakamura, 2013. "Endogenous Alleviation of Overreaction Problem by Aggregate Information Announcement," The Japanese Economic Review, Japanese Economic Association, vol. 64(3), pages 319-336, September.
- Verrecchia, Robert E., 2001. "Essays on disclosure," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 97-180, December.
- Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
- Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
- Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
- Ichiro Fukunaga, 2007.
"Imperfect Common Knowledge, Staggered Price Setting, and the Effects of Monetary Policy,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1711-1739, October.
- Ichiro Fukunaga, 2007. "Imperfect Common Knowledge, Staggered Price Setting, and the Effects of Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1711-1739, October.
- Baeriswyl, Romain & Cornand, Camille, 2010.
"The signaling role of policy actions,"
Journal of Monetary Economics, Elsevier, vol. 57(6), pages 682-695, September.
- Romain Baeriswyl & Camille Cornand, 2010. "The signaling role of policy action," Working Papers of BETA 2010-04, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Romain Baeriswyl & Camille Cornand, 2010. "The signaling role of policy actions," Post-Print halshs-01704165, HAL.
- Giacomo Rondina & Todd Walker, 2016. "Learning and Informational Stability of Dynamic REE with Incomplete Information," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 147-159, July.
- Menkhoff, Lukas & Schmeling, Maik, 2010.
"Trader see, trader do: How do (small) FX traders react to large counterparties' trades?,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
- Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP) dp-415, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
More about this item
Keywords
Confirmatory bias; Public announcements; Trading volume; Higher-order expectations; Short-term traders;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ehl:lserod:24645. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: LSERO Manager (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.