Asset pricing with incomplete information and fat tails

2009 ◽  
Vol 33 (6) ◽  
pp. 1314-1331 ◽  
Author(s):  
Prasad V. Bidarkota ◽  
Brice V. Dupoyet ◽  
J. Huston McCulloch
Keyword(s):  
Asset Pricing ◽  
Incomplete Information ◽  
Fat Tails

scholarly journals Fat tails and spurious estimation of consumption-based asset pricing models

2017 ◽  
Vol 32 (6) ◽  
pp. 1156-1177 ◽  
Author(s):  
Alexis Akira Toda ◽  
Kieran James Walsh
Keyword(s):  
Asset Pricing ◽  
Fat Tails ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Asset Pricing with Incomplete Information under Stable Shocks

2005 ◽  
Author(s):  
Prasad V. Bidarkota ◽  
Brice V. Dupoyet ◽  
J. Huston Mcculloch
Keyword(s):  
Asset Pricing ◽  
Incomplete Information

scholarly journals A Long-Run Risks Model of Asset Pricing with Fat Tails*

2009 ◽  
Vol 14 (3) ◽  
pp. 409-449 ◽  
Author(s):  
Zhiguang (Gerald) Wang ◽  
Prasad V. Bidarkota
Keyword(s):  
Asset Pricing ◽  
Fat Tails ◽  
Long Run ◽  
Long Run Risks

scholarly journals Crises: Equilibrium Shifts and Large Shocks

2019 ◽  
Vol 109 (8) ◽  
pp. 2823-2854 ◽  
Author(s):  
Stephen Morris ◽  
Muhamet Yildiz
Keyword(s):  
Incomplete Information ◽  
Coordination Games ◽  
Critical Threshold ◽  
Fat Tails ◽  
Common Shocks ◽  
Fat Tail ◽  
Games With Incomplete Information

We study the informational events that trigger equilibrium shifts in coordination games with incomplete information. Assuming that the distribution of the changes in fundamentals has fat tails, we show that majority play shifts either if fundamentals reach a critical threshold or if there are large common shocks, even before the threshold is reached. The fat-tail assumption matters because it implies that large shocks make players more unsure about whether their payoffs are higher than others. This feature is crucial for large shocks to matter. (JEL C72, C73, D83)

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