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Essays on market microstructure with...

Gervais, Simon.

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Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence./
Author:	Gervais, Simon.
Description:	145 p.
Notes:	Chairs: Hayne Leland; Matthew Spiegel.
Contained By:	Dissertation Abstracts International58-08A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9803200
ISBN:	0591526301

Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence.
Gervais, Simon.

Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence. - 145 p.

Chairs: Hayne Leland; Matthew Spiegel.

Thesis (Ph.D.)--University of California, Berkeley, 1997.

This dissertation consists of four essays on asymmetric information in financial markets. The first of these essays provides the financial market microstructure literature with a relatively simple framework to accomodate the possibility for the precision of information to be random. As the usual normal/exponential framework is intractable when the precision of information is random, we introduce a setting similar to that of Glosten and Milgrom (1985) in which shares of a risky asset can only be traded one at a time. We find that the bid-ask spread and insider profits both increase with a first-order stochastic shift of the information precision, but decrease with a second order stochastic shift. On the other hand, the effects of these stochastic shifts on trading volume are in general ambiguous, since such shifts produce two counter-balancing effects. However, conditions are derived in which the net effect is known.

ISBN: 0591526301Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence.
LDR:04054nam 2200337 a 45 001 932624
005 20110505
008 110505s1997 eng d
020 $a 0591526301
035 $a (UnM)AAI9803200
035 $a AAI9803200
040 $a UnM $c UnM
100 1 $a Gervais, Simon. $3 1256364
245 1 0 $a Essays on market microstructure with uncertain information precision, optimal information sales, and overconfidence.
300 $a 145 p.
500 $a Chairs: Hayne Leland; Matthew Spiegel.
500 $a Source: Dissertation Abstracts International, Volume: 58-08, Section: A, page: 3228.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 1997.
520 $a This dissertation consists of four essays on asymmetric information in financial markets. The first of these essays provides the financial market microstructure literature with a relatively simple framework to accomodate the possibility for the precision of information to be random. As the usual normal/exponential framework is intractable when the precision of information is random, we introduce a setting similar to that of Glosten and Milgrom (1985) in which shares of a risky asset can only be traded one at a time. We find that the bid-ask spread and insider profits both increase with a first-order stochastic shift of the information precision, but decrease with a second order stochastic shift. On the other hand, the effects of these stochastic shifts on trading volume are in general ambiguous, since such shifts produce two counter-balancing effects. However, conditions are derived in which the net effect is known.
520 $a The second essay shows how this one-period model can be extended to a multi-period model. To concentrate on the effects of precision uncertainty, we suggest a model in which the only piece of information which is used in every period by insiders is their information precision. We show that the presence of uncertainty about information precision implies that the trade sequence is more informative than just the number of transactions, and introduces the possibility that the bid-ask spread gets stuck at a level which does not reflect the insiders' precision. Furthermore, we show that trading volume will exhibit positive autocorrelation through time, as long as the market-maker seeks to discover the uncertain information precision.
520 $a The third essay looks at the optimal decisions of an informed trader who can use his information in two ways: informed trading, and/or information sales. Our approach differs from that of previous studies of information sales in that we allow the informed trader to sell his information only partially before trading on it. We find that the informed trader will sell all (none) of his private information when he and the uninformed trader are very risk averse (neutral), when his information is relatively imprecise (precise), and when the incidence of liquidity trading is large (small). In between these two extreme scenarios, the informed trader only sells part of his information to the uninformed trader.
520 $a The fourth and final essay describes both the process by which traders learn about their ability and how a bias in this learning can create overconfident traders. A trader in this model initially does not know his own ability, but infers it from his performance on the stock market. However, in assessing his ability, the trader takes too much credit for his successes, and this leads him to become overconfident. We derive conditions under which an overconfident trader will eventually discover his true ability, and then analyze the effects of this learning process on trading volume, market volatility and insider profits.
590 $a School code: 0028.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Business Administration, Management. $3 626628
650 4 $a Economics, General. $3 1017424
690 $a 0454
690 $a 0501
690 $a 0770
710 2 0 $a University of California, Berkeley. $3 687832
773 0 $t Dissertation Abstracts International $g 58-08A.
790 $a 0028
790 1 0 $a Leland, Hayne, $e advisor
790 1 0 $a Spiegel, Matthew, $e advisor
791 $a Ph.D.
792 $a 1997
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9803200