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dc.contributor.author Cespa, Giovanni
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2017-07-26T10:50:37Z
dc.date.available 2017-07-26T10:50:37Z
dc.date.issued 2002-04-01
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=681
dc.identifier.citation Economic Theory, 2005, vol. 25, 983-997
dc.identifier.uri http://hdl.handle.net/10230/862
dc.description.abstract This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting competitive traders demands in multi- asset, noisy rational expectations equilibrium models. The role that information plays in traders strategies also matters. In a market with risk averse, uninformed traders, informed agents have a dual motive for trading: speculation and market making. While speculation entails using prices to assess the effect of private signal error terms, market making requires employing them to disentangle noise traders effects in traders aggregate orders. In a correlated environment, this complicates a trader s signal-extraction problem and may generate upward-sloping demand curves. Assuming either (i) that competitive, risk neutral market makers price the assets, or that (ii) the risk tolerance coefficient of uninformed traders grows without bound, removes the market making component from informed traders demands, rendering them well behaved in prices.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 681
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Giffen goods and market making
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2017-07-23T02:40:46Z
dc.subject.keyword financial economics
dc.subject.keyword asset pricing
dc.subject.keyword information and market efficiency
dc.subject.keyword Finance and Accounting
dc.rights.accessRights info:eu-repo/semantics/openAccess


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