Equilibrium price with institutional investors and with naive traders
Division of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board, 1998 - Business & Economics - 26 pages
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14 long-dashed line Affairs Federal Reserve asset prices assuming coefficient coeﬁicient Consequently correlation cost when informed covariance matrix cubic equation decreasing function demand Discussion Series Divisions Economics Discussion Series equilibrium price expected trading volume Federal Reserve Board Figure Finance and Economics ﬁnancial markets ﬁrst Hence identically distributed implicit function theorem implies informative when traders informativeness is increasing institutional investors institutional ownership introducing a transaction January less informative liquidity noise liquidity shock liquidity trader market price market-clearing price Monetary Affairs Federal multiple informed traders no-trade theorems normally distributed number of informed number of traders Numerical examples show paper parameters Phillips Curve preceding sections price informativeness price volatility Price with Institutional private signals Proofs of proposition rational traders risk aversion September 1997 short-dashed line ta.x traders are naive traders are rational traders is set transaction cost transaction tax true asset value true value volatile and less