Share price formation, market exuberance and financial stability under alternative accounting regimes

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• 作者：Yuri Biondi ; Pierpaolo Giannoccolo
• 关键词：Accounting information ; Asset pricing model ; Fundamentalism ; Chartism ; Large fluctuations ; Financial bubbles ; Market exuberance ; Market microstructure ; Historical cost accounting ; Fair value accounting ; Mark ; to ; market ; Accrual anomalies ; C63 ; D4 ; E17 ; E37 ; G17 ; M41 ; M48 ; G1
• 刊名：Journal of Economic Interaction and Coordination
• 出版年：2015
• 出版时间：October 2015
• 年：2015
• 卷：10
• 期：2
• 页码：333-362
• 全文大小：1,262 KB
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• 作者单位：Yuri Biondi (1)
  Pierpaolo Giannoccolo (2)
  
  1. CNRS - ESCP Europe, Paris, France
  2. Department of Economics, University of Bologna, Bologna, Italy
  
• 刊物主题：Economic Theory; Game Theory/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Theoretical, Mathematical and Computational Physics; Finance/Investment/Banking;
• 出版者：Springer Berlin Heidelberg
• ISSN：1860-7128

文摘

This paper develops a theoretical analysis of share market price formation driven by accounting and market structures. Heterogeneous investors are assumed to discover and process fundamental information disclosed by accounting system of share-issuing entity. Information set available to share market investors for decision-making comprises then market-driven and firm-specific (non-market) information. On the one side, accounting system provides collective signal of fundamental information; on the other side, price system provides collective signal of market-driven information over time. Both jointly drive the formation of aggregate share market prices through limited knowledge, hazard, and social interaction. Numerical simulations are provided under alternative accounting designs (namely, historical cost and fair value accounting regimes), to derive implications and recommendations for the concept and occurrence of speculative bubbles and herd behavior; the cyclical effects of accounting regime on share market dynamics; and the “value relevance-of accounting information and its role in the formation of share market prices over time. This numerical statistical analysis contributes to shed light on accounting anomalies and fundamental analysis. Keywords Accounting information Asset pricing model Fundamentalism Chartism Large fluctuations Financial bubbles Market exuberance Market microstructure Historical cost accounting Fair value accounting Mark-to-market Accrual anomalies