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Liquidity and asset prices in rational expectations equilibrium with ambiguous information

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  • Han Ozsoylev
  • Jan Werner

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  • Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
    • Handle: RePEc:spr:joecth:v:48:y:2011:i:2:p:469-491
    DOI: 10.1007/s00199-011-0648-0
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    More about this item

    Keywords

    Ambiguity; Asymmetric information; Liquidity; Rational expectations equilibrium; D81; D82; G12; G14;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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