Asset pricing in large information networks

• 成果类型: Article
• 署名作者: Ozsoylev, Han N.; Walden, Johan
• 署名单位: University of Oxford; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.10.003
• 发表日期: 2011
• 页码: 2252-2280
• 关键词: information networks; Noisy rational expectations equilibrium; power law

摘要

We study asset pricing in economies with large information networks. We focus on networks that are sparse and have power law degree distributions, in line with empirical studies of large scale social networks. Our theoretical framework yields a rich set of novel asset pricing implications. We derive closed form expressions for price, volatility, profitability and trading volume, as functions of the network topology. We also study agent welfare and show that the network that optimizes total welfare is typically a uniform one with an intermediate degree of connectedness. (C) 2011 Elsevier Inc. All rights reserved.