Market equilibria with endogenous, hierarchical information
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- McNulty, M. & Huffman, Wallace, 1996. "Market Equilibria with Endogenous, Hierarchical Information," Staff General Research Papers Archive 5166, Iowa State University, Department of Economics.
References listed on IDEAS
- Hellwig, Martin F., 1982.
"Rational expectations equilibrium with conditioning on past prices: A mean-variance example,"
Journal of Economic Theory, Elsevier, vol. 26(2), pages 279-312, April.
- HELLWIG, Martin F., 1982. "Rational expectations equilibrium with conditioning on past prices: a mean-variance example," LIDAM Reprints CORE 480, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sargent, Thomas J., 1991. "Equilibrium with signal extraction from endogenous variables," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 245-273, April.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Admati, Anat R. & Pfleiderer, Paul, 1987. "Viable allocations of information in financial markets," Journal of Economic Theory, Elsevier, vol. 43(1), pages 76-115, October.
- Stein, Jeremy C, 1987.
"Informational Externalities and Welfare-Reducing Speculation,"
Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-1145, December.
- Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
- Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
- Sanford J. Grossman, 1977. "The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 44(3), pages 431-449.
- Jiang Wang, 1993. "A Model of Intertemporal Asset Prices Under Asymmetric Information," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(2), pages 249-282.
- Townsend, Robert M, 1983. "Forecasting the Forecasts of Others," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 546-588, August.
- Reuven Glick & Clas Wihlborg, 1985. "Price Determination in a Competitive Industry with Costly Information and a Production Lag," RAND Journal of Economics, The RAND Corporation, vol. 16(1), pages 127-140, Spring.
- Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, vol. 9(3), pages 221-235, September.
- Hussman, John P., 1992. "Market efficiency and inefficiency in rational expectations equilibria : Dynamic effects of heterogeneous information and noise," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 655-680.
- Admati, Anat R. & Pfleiderer, Paul, 1986. "A monopolistic market for information," Journal of Economic Theory, Elsevier, vol. 39(2), pages 400-438, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Naik, Narayan Y., 1997. "On aggregation of information in competitive markets: The dynamic case," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1199-1227, June.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
- Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
- Eric van Wincoop & Philippe Bacchetta, 2004. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Econometric Society 2004 North American Winter Meetings 628, Econometric Society.
- Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc.
- Spyros Pagratis, 2005. "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England.
- García, Diego & Urošević, Branko, 2013. "Noise and aggregation of information in large markets," Journal of Financial Markets, Elsevier, vol. 16(3), pages 526-549.
- Michele Berardi, 2021.
"Learning from prices: information aggregation and accumulation in an asset market,"
Annals of Finance, Springer, vol. 17(1), pages 45-77, March.
- Berardi, Michele, 2020. "Learning from prices: information aggregation and accumulation in an asset market," MPRA Paper 102139, University Library of Munich, Germany.
- He, Hua & Wang, Jiang, 1995.
"Differential Information and Dynamic Behavior of Stock Trading Volume,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
- Hua He and Jiang Wang., 1993. "Differential Information and Dynamic Behavior of Stock Trading Volume," Research Program in Finance Working Papers RPF-228, University of California at Berkeley.
- Hua He & Jiang Wang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," NBER Working Papers 5010, National Bureau of Economic Research, Inc.
- Wang, Jiang, 1959- & He, Hua., 1994. "Differential information and dynamic behavior of stock trading volume," Working papers 3731-94., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
- Marcelo Pinheiro, 2005. "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, vol. 1(4), pages 395-421, October.
- Naik, Narayan Y., 1997. "Multi-period information markets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1229-1258, June.
- Verrecchia, Robert E., 2001. "Essays on disclosure," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 97-180, December.
- Ergun, Lerby & Uthemann, Andreas, 2020. "Higher-order uncertainty in financial markets: evidence from a consensus pricing service," LSE Research Online Documents on Economics 118893, London School of Economics and Political Science, LSE Library.
- Emanuela Sciubba, 2005.
"Asymmetric information and survival in financial markets,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(2), pages 353-379, February.
- Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge.
- Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
- Diego García & Branko Urosevic, 2004. "Noise and aggregation of information in large markets," Economics Working Papers 785, Department of Economics and Business, Universitat Pompeu Fabra.
- Georgy Chabakauri & Kathy Yuan & Konstantinos E Zachariadis, 2022.
"Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2445-2490.
- Chabakauri, Georgy & Yuan, Kathy & Zachariadis, Konstantinos, 2014. "Multi-asset noisy rational expectations equilibrium with contingent claims," LSE Research Online Documents on Economics 60736, London School of Economics and Political Science, LSE Library.
- Chabakauri, Georgy & Yuan, Kathy & Zachariadis, Konstantinos E., 2022. "Multi-asset noisy rational expectations equilibrium with contingent claims," LSE Research Online Documents on Economics 111974, London School of Economics and Political Science, LSE Library.
- Peress, Joel & Schmidt, Daniel, 2021.
"Noise traders incarnate: Describing a realistic noise trading process,"
Journal of Financial Markets, Elsevier, vol. 54(C).
- Peress, Joël & Schmidt, Daniel, 2017. "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers 12434, C.E.P.R. Discussion Papers.
- Bryan Kelly & Alexander Ljungqvist, 2012.
"Testing Asymmetric-Information Asset Pricing Models,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
- Ljungqvist, Alexander & Kelly, Bryan, 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers.
- Diego García & Francesco Sangiorgi & Branko Urošević, 2007.
"Overconfidence and Market Efficiency with Heterogeneous Agents,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 30(2), pages 313-336, February.
- Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2004. "Overconfidence and market efficiency with heterogeneous agents," Economics Working Papers 786, Department of Economics and Business, Universitat Pompeu Fabra.
- Diego Garcia & Francesco Sangiorgi & Branko Urosevic, 2005. "Overconfidence and Market Efficiency with Heterogeneous Agents," Carlo Alberto Notebooks 11, Collegio Carlo Alberto.
- Zhou, Chunsheng, 1998. "Dynamic portfolio choice and asset pricing with differential information," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1027-1051, May.
- Mäkinen, Taneli & Ohl, Björn, 2015.
"Information acquisition and learning from prices over the business cycle,"
Journal of Economic Theory, Elsevier, vol. 158(PB), pages 585-633.
- Mäkinen, Taneli & Ohl, Björn, 2012. "Information Acquisition and Learning from Prices Over the Business Cycle," SSE/EFI Working Paper Series in Economics and Finance 740, Stockholm School of Economics, revised 19 Mar 2013.
- BjÖrn Ohl & Taneli Mäkinen, 2014. "Information acquisition and learning from prices over the business cycle," NBP Working Papers 176, Narodowy Bank Polski.
- Mäkinen, Taneli & Ohl, Björn, 2014. "Information acquisition and learning from prices over the business cycle," Bank of Finland Research Discussion Papers 7/2014, Bank of Finland.
- Taneli M�kinen & Bj�rn Ohl, 2014. "Information acquisition and learning from prices over the business cycle," Temi di discussione (Economic working papers) 946, Bank of Italy, Economic Research and International Relations Area.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:20:y:1996:i:4:p:607-626. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.