Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias

Ruiz-Porras, Antonio (2006): Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias. Forthcoming in: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) , Vol. 1, No. 1 (January 2007): pp. 56-63.

Abstract

In this paper we study the hypothesis of “divergent expectations” with a signaling game. Such hypothesis points out that, in emerging economies, local investors tend to be front-runners in a currency crisis. Our analysis shows that changes in the informational structure available to the investors change their risk management practices. Particularly, if local investors have privileged information, about the likelihood of problems in the economy, they will monopolize the available asset returns and expected utilities. Furthermore the sum of expected utilities of local and foreign investors will be lower than the one achieved without information asymmetries.

• Item Type: MPRA Paper
• Institution: Department of Accounting and Finance. Tecnológico de Monterrey, Campus Ciudad de México
• Language: Spanish
• Keywords: privileged information. risk management; expected utilities; currency crises; divergent expectations
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information ; Mechanism Design; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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