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Handbook of Financial Markets: Dynamics and Evolution by Klaus Reiner Schenk-Hoppe, Thorsten Hens

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Chapter 8. Rational Diverse Beliefs and Market Volatility

  1. Introduction 440
  2. Can Market Dynamics Be Explained by Asymmetric Private Information? 445
    1. A General Model of Asset Pricing under Asymmetric Information 445
    2. Dynamic Infinite Horizon Models 450
    3. Is Asymmetric Information a Satisfactory Theory of Market Dynamics? 453
  3. Diverse Beliefs with Common Information: The General Theory 454
    1. A Basic Principle: Rational Diversity Implies Volatility 455
    2. Stability and Rationality in a General Nonstationary Economy 457
    3. Belief Rationality and the Conditional Stability Theorem 461
    4. Describing Individual and Market Beliefs with Markov State Variables 464
    5. Asset Pricing with Heterogeneous Beliefs: An Illustrative Model and Implications 474
  4. Explaining Market Dynamics ...

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