[HOY, RECORDATORIO] Seminario Job Market Economía PUJ: Alfredo Contreras (Universidad Autónoma de Barcelona)

[Nicolas Alejandro Lillo Bustos]

Estimados colegas, junto con saludarlos, los invito al Seminario de Economía del Job Market del Departamento de Economía de la Pontificia Universidad Javeriana que se realizará hoy. Los detalles, a continuación:

 

• Invitado: Alfredo Contreras (Universidad Autónoma de Barcelona)
• Título: Attention allocation and price comovement under imperfect competition (paper adjunto)
• Abstract: This paper contains an explanation for the non-structural comovement of asset prices using a model for insider trading. In this model, the price comovement appears solely through an informational channel. When rational investors select portfolios accessing noisy inside information, the market prices are a noisy spread of the inside information. When an investor faces a limited information-processing capacity, the expected profits derived from an information structure that focuses on reducing the aggregate external noise may be higher than those generated by an information structure aiming to deliver separate information about each market. There is a trade-off between statistical independence in information and aggregate precision. As a result, when the insider chooses an information structure that delivers correlated information, his portfolio will be negatively correlated. The negative correlation appears as a form of hedging in response to the correlated information. Such a correlation vanishes as the learning capacity increases and its magnitude is scaled down when the insiders exhibit higher degrees of risk aversion.
• Link zoom: https://javeriana-edu-co.zoom.us/j/86913381425 (ES OTRO LINK DIFERENTE A SEMINARIOS ANTERIORES)
• Hora: 12:30-14:00
• Día: Viernes 12 de febrero de 2021.

 

 

Nicolás A. Lillo Bustos, Phd.

Assistant Professor

Department of Economics

Pontificia Universidad Javeriana

Bogotá, Colombia

 

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