Robert H Litzenberger
Biographic Data
| ID | 5848722 |
|---|---|
| NAME | Robert H Litzenberger |
| GIVEN NAMES | Robert H |
| FAMILY NAME | Litzenberger |
| SIGNATURE | LITZENBERGER R H |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1972 |
| LATEST PUBLICATION YEAR | 1992 |
| H-INDEX | 1 |
Testing Financial Market Equilibrium under Asymmetric Information
The authors devise tests that distinguish between competitive (Walrasian), fully revealing rational expectations and noisy rational expectations equilibria based on their predictions concerning trading volume around public information signals. Empirical results strongly support the noisy rational expectations hypothesis. This indicates that a significant amount of noise exists (so that private information has value), but not enough to obfuscate e…
The Market Price of Risk, Size of Market and Investors' Risk Aversion
that the ordinary least squares coefficient corresponding to the variable with the error will be biassed downward (in absolute value), and it is also seen that the direction and extent of bias in the other coefficients will depend directly on the covariances between those coefficient estimates and that of the offending variable. In particular, it may be useful to note that the sign of the bias is given by: sgn ( gj 8 *j) = ( l)(sgn cov ,2j,, ) (s…
Testing Financial Market Equilibrium under Asymmetric Information
The authors devise tests that distinguish between competitive (Walrasian), fully revealing rational expectations and noisy rational expectations equilibria based on their predictions concerning trading volume around public information signals. Empirical results strongly support the noisy rational expectations hypothesis. This indicates that a significant amount of noise exists (so that private information has value), but not enough to obfuscate e…
The Market Price of Risk, Size of Market and Investors' Risk Aversion
that the ordinary least squares coefficient corresponding to the variable with the error will be biassed downward (in absolute value), and it is also seen that the direction and extent of bias in the other coefficients will depend directly on the covariances between those coefficient estimates and that of the offending variable. In particular, it may be useful to note that the sign of the bias is given by: sgn ( gj 8 *j) = ( l)(sgn cov ,2j,, ) (s…
Testing Financial Market Equilibrium under Asymmetric Information
The authors devise tests that distinguish between competitive (Walrasian), fully revealing rational expectations and noisy rational expectations equilibria based on their predictions concerning trading volume around public information signals. Empirical results strongly support the noisy rational expectations hypothesis. This indicates that a significant amount of noise exists (so that private information has value), but not enough to obfuscate e…
Economics (2 works) · Financial economics (2 works) · Financial Markets and Investment Strategies (2 works) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Credit Risk and Financial Regulations (1 work) · Dispersion (optics (1 work) · Econometrics (1 work) · Expected utility hypothesis (1 work) · Finance (1 work)