| dc.contributor.author | Ford, J.L. | |
| dc.contributor.author | Kelsey, David | |
| dc.contributor.author | Pang, Wei | |
| dc.date.accessioned | 2014-07-08T08:49:16Z | |
| dc.date.issued | 2012-09-29 | |
| dc.description.abstract | The paper studies the impact of informational ambiguity on behalf of informed traders
on history-dependent price behaviour in a model of sequential trading in nancial markets.
Following Chateauneuf, Eichberger and Grant (2006), we use neo-additive capacities to
model ambiguity. Such ambiguity and attitudes to it can engender herd and contrarian
behaviour, and also cause the market to break down. The latter, herd and contrarian
behaviour, can be reduced by the existence of a bid-ask spread. | en_GB |
| dc.description.sponsorship | Research in part funded by ESRC grant RES-000-22-0650. | en_GB |
| dc.identifier.citation | Volume 75, Issue 1, pp 1-15 | en_GB |
| dc.identifier.doi | 10.1007/s11238-012-9334-3 | |
| dc.identifier.uri | http://hdl.handle.net/10871/15161 | |
| dc.language.iso | en | en_GB |
| dc.publisher | Springer | en_GB |
| dc.relation.replaces | http://hdl.handle.net/10036/30134 | en_GB |
| dc.subject | Ambiguity | en_GB |
| dc.subject | Choquet expected utility | en_GB |
| dc.subject | Generalized Bayesian update | en_GB |
| dc.subject | Optimism | en_GB |
| dc.subject | Herding | en_GB |
| dc.subject | Contrarian behaviour | en_GB |
| dc.title | Information and ambiguity: herd and contrarian behaviour in financial markets | en_GB |
| dc.type | Article | en_GB |
| dc.date.available | 2014-07-08T08:49:16Z | |
| dc.identifier.issn | 0040-5833 | |
| dc.description | The final publication is available at Springer via http://dx.doi.org/10.1007/s11238-012-9334-3 | en_GB |
| dc.identifier.eissn | 1573-7187 | |
| dc.identifier.journal | Theory and Decision | en_GB |
