TY  - JOUR
AU  - Romer,David
TI  - Rational Asset Price Movements Without News
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4121
PY  - 1992
Y2  - July 1992
UR  - http://www.nber.org/papers/w4121
L1  - http://www.nber.org/papers/w4121.pdf
N1  - Author contact info:
David H. Romer
Department of Economics
University of California
Berkeley, CA 94720-3880
E-Mail: dromer@econ.berkeley.edu
AB  - This paper argues that an important part of movements in asset prices may be caused by neither external news nor irrationality, but the by revelation of information by the trading process itself. Two models are developed that illustrate this general idea. One model is based on investor uncertainty about the quality of other investors' information: the other is based on widespread dispersion of information and small costs to trading. The analysis is used to suggest a possible rational explanation of the October 1987 crash.
ER  -