Following the approach of standard filtering theory, we analyse investor valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold their observations; explicit filtering formulae are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.
The sound of silence: equilibrium filtering and optional censoring in financial markets
GIETZMANN, MILES BERNARD;
2016
Abstract
Following the approach of standard filtering theory, we analyse investor valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold their observations; explicit filtering formulae are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
the-sound-of-silence-equilibrium-filtering-and-optimal-censoring-in-financial-marketspdf.pdf
non disponibili
Tipologia:
Pdf editoriale (Publisher's layout)
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
245.09 kB
Formato
Adobe PDF
|
245.09 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.