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Asset market equilibrium with general tastes, returns, and informational asymmetries

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  • Bernardo, Antonio E.
  • Judd, Kenneth L.

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  • Bernardo, Antonio E. & Judd, Kenneth L., 2000. "Asset market equilibrium with general tastes, returns, and informational asymmetries," Journal of Financial Markets, Elsevier, vol. 3(1), pages 17-43, February.
    • Handle: RePEc:eee:finmar:v:3:y:2000:i:1:p:17-43
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    1. DeMarzo, Peter & Skiadas, Costis, 1998. "Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information," Journal of Economic Theory, Elsevier, vol. 80(1), pages 123-152, May.
    2. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
    3. 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.
    4. Jordan, J. S., 1982. "The generic existence of rational expectations equilibrium in the higher dimensional case," Journal of Economic Theory, Elsevier, vol. 26(2), pages 224-243, April.
    5. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-678, May.
    6. Jordan, J S, 1983. "On the Efficient Markets Hypothesis," Econometrica, Econometric Society, vol. 51(5), pages 1325-1343, September.
    7. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February.
    8. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    9. Ausubel, Lawrence M., 1990. "Partially-revealing rational expectations equilibrium in a competitive economy," Journal of Economic Theory, Elsevier, vol. 50(1), pages 93-126, February.
    10. Ausubel, Lawrence M, 1990. "Insider Trading in a Rational Expectations Economy," American Economic Review, American Economic Association, vol. 80(5), pages 1022-1041, December.
    11. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    12. De Long, J Bradford & Shleifer, Andrei & Summers, Lawrence H & Waldmann, Robert J, 1991. "The Survival of Noise Traders in Financial Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January.
    13. Allen, Beth, 1985. "The existence of rational expectations equilibria in a large economy with noisy price observations," Journal of Mathematical Economics, Elsevier, vol. 14(1), pages 67-103, February.
    14. Spiegel, Matthew, 1998. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 419-447.
    15. John Y. Campbell & Albert S. Kyle, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(1), pages 1-34.
    16. Kreps, David M., 1977. "A note on "fulfilled expectations" equilibria," Journal of Economic Theory, Elsevier, vol. 14(1), pages 32-43, February.
    17. Allen, Beth, 1985. "The existence of fully rational expectations approximate equilibria with noisy price observations," Journal of Economic Theory, Elsevier, vol. 37(2), pages 213-253, December.
    18. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
    19. Anderson, Robert M. & Sonnenschein, Hugo, 1982. "On the existence of rational expectations equilibrium," Journal of Economic Theory, Elsevier, vol. 26(2), pages 261-278, April.
    20. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
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    Cited by:

    1. Emine Boz, 2006. "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006 19, Society for Computational Economics.
    2. 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.
    3. Kurlat, Pablo & Veldkamp, Laura, 2015. "Should we regulate financial information?," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 697-720.
    4. Makarov, Dmitry & Schornick, Astrid V., 2010. "A note on wealth effect under CARA utility," Finance Research Letters, Elsevier, vol. 7(3), pages 170-177, September.
    5. Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
    6. Joseph Y. Chen & Bruce L. Miller, 2009. "On the Relative Performance of Linear vs. Piecewise-Linear-Threshold Intertemporal Incentives," Management Science, INFORMS, vol. 55(10), pages 1743-1752, October.
    7. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
    8. Mario Padula & Yuri Pettinicchi, 2013. "Providing Financial Education: A General Equilibrium Approach," CSEF Working Papers 334, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    9. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2004. "The Value of Private Information," University of California at Los Angeles, Anderson Graduate School of Management qt71t9z3w3, Anderson Graduate School of Management, UCLA.
    10. Jong‐Yi Wang & Janice C. Probst & Carleen H. Stoskopf & Jimy M. Sanders & James F. McTigue, 2011. "Information asymmetry and performance tilting in hospitals: a national empirical study," Health Economics, John Wiley & Sons, Ltd., vol. 20(12), pages 1487-1506, December.
    11. Luca Bernardinelli & Paolo Guasoni & Eberhard Mayerhofer, 2022. "Informational efficiency and welfare," Mathematics and Financial Economics, Springer, volume 16, number 2, February.
    12. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
    13. José M. Marín & Antoni Sureda-Gomila, 2006. "Firms vs. insiders as traders of last resort," Economics Working Papers 999, Department of Economics and Business, Universitat Pompeu Fabra.
    14. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
    15. Peress, Joel & Schmidt, Daniel, 2021. "Noise traders incarnate: Describing a realistic noise trading process," Journal of Financial Markets, Elsevier, vol. 54(C).
    16. Yuri Pettinicchi, 2012. "Financial Literacy, Information Acquisition and Asset Pricing Implications," Working Papers 2012_03, Department of Economics, University of Venice "Ca' Foscari".
    17. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
    18. Emine Boz, 2005. "Do Miracles Lead to Crises?: An Informational Frictions Explanation to Emerging Market Financial Crises," 2005 Meeting Papers 496, Society for Economic Dynamics.
    19. repec:esx:essedp:720 is not listed on IDEAS
    20. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    21. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
    22. Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
    23. Matthijs Breugem & Adrian Buss, 2017. "Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency," Carlo Alberto Notebooks 524, Collegio Carlo Alberto.

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