Equilibrium, Price Formation, and the Value of Private Information

Citations

Cited by:

1. Estelle Cantillon & Aurélie Slechten, 2018. "Information Aggregation in Emissions Markets with Abatement," Annals of Economics and Statistics, GENES, issue 132, pages 53-79.
   • Estelle Cantillon & Aurelie Cecile Dominique Slechten, 2018. "Information Aggregation in Emissions Markets with Abatement," Working Papers 251505309, Lancaster University Management School, Economics Department.
   • Cantillon, Estelle & Slechten, Aurélie, 2018. "Information Aggregation in Emissions Markets with Abatement," CEPR Discussion Papers 13343, C.E.P.R. Discussion Papers.
   • Estelle Cantillon & Aurelie Slechten, 2018. "Information Aggregation in Emissions Markets with Abatement," Working Papers ECARES 2018-37, ULB -- Universite Libre de Bruxelles.
   • Estelle Cantillon & Aurelie Slechten, 2018. "Information Aggregation in Emissions Markets with Abatement," ULB Institutional Repository 2013/284533, ULB -- Universite Libre de Bruxelles.
2. 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.
3. Xavier Vives, 2011. "Strategic Supply Function Competition With Private Information," Econometrica, Econometric Society, vol. 79(6), pages 1919-1966, November.
   • Xavier Vives, 2008. "Strategic Supply Function Competition with Private Information," CESifo Working Paper Series 2410, CESifo.
   • Xavier Vives, 2009. "Strategic Supply Function Competition with Private Information," Cowles Foundation Discussion Papers 1736, Cowles Foundation for Research in Economics, Yale University.
   • Vives, Xavier, 2008. "Strategic Supply Function Competition with Private Information," CEPR Discussion Papers 6960, C.E.P.R. Discussion Papers.
   • Vives, Xavier, 2008. "Strategic supply function competition with private information," IESE Research Papers D/774, IESE Business School.
   • Xavier Vives, 2009. "Strategic Supply Function Competition with Private Information," CESifo Working Paper Series 2856, CESifo.
4. Matthew O. Jackson & James Peck, 1993. "Costly Information Acquisition," Discussion Papers 1087, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
5. Ou-Yang, Hui & Wu, Weili, 2017. "Net trade and market efficiency in Grossman and Stiglitz (1980)," Journal of Economic Theory, Elsevier, vol. 167(C), pages 75-85.
6. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
7. Xavier Vives, 2014. "On The Possibility Of Informationally Efficient Markets," Journal of the European Economic Association, European Economic Association, vol. 12(5), pages 1200-1239, October.
   • Vives, Xavier, 2014. "On the Possibility of Informationally Efficient Markets," IESE Research Papers D/1104, IESE Business School.
8. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
   • Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
   • Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
9. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2004. "Asset prices and informed traders' abilities: Evidence from experimental asset markets," Accounting, Organizations and Society, Elsevier, vol. 29(7), pages 609-626, October.
   • Lucy F. Ackert & Bryan K. Church & Ping Zhang, 2002. "Asset prices and informed traders' abilities: evidence from experimental asset markets," FRB Atlanta Working Paper 2002-26, Federal Reserve Bank of Atlanta.
10. Goenka, Aditya, 2003. "Informed trading and the 'leakage' of information," Journal of Economic Theory, Elsevier, vol. 109(2), pages 360-377, April.
    • Goenka, Aditya, 2000. "Informed Trading and the "Leakage" of Information," Economics Discussion Papers 8835, University of Essex, Department of Economics.
11. Wen-Chung Guo & Sy-Ming Guu & Ting-Yun Chang, 2011. "Equilibrium Information Acquisition, Prediction Abilities and Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 37(1), pages 89-111, January.
12. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.
    • Muendler, Marc-Andreas, 2005. "Risk Neutral Investors Do Not Acquire Information¤," University of California at San Diego, Economics Working Paper Series qt8fg5g853, Department of Economics, UC San Diego.
13. Biais, Bruno & Foucault, Thierry, 1993. "Asymétrie d’information et marchés financiers : une synthèse de la littérature récente," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 8-44, mars.
    • Thierry Foucault & Bruno Biais, 1993. "Asymétries d'information et marchés financiers : une synthèse de la littérature récente," Post-Print hal-00711386, HAL.
14. James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(3), pages 603-628.
    • Matthew O. Jackson & James Peck, 1997. "Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations," Microeconomics 9711004, University Library of Munich, Germany.
15. Sherrill Shaffer, 2011. "Strategic risk aversion," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 949-956.
    • SHerrill Shaffer, 2008. "Strategic Risk Aversion," CAMA Working Papers 2008-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
16. Alessandro, CITANNA & Archishman, CHAKRABORTY, 1999. "Moral Hazard, Aggregate Risk and Nominal Linear Financial Contracts," HEC Research Papers Series 683, HEC Paris.
    • Alessandro Citanna & Archishman Chakraborty, 1999. "Moral Hazard, Aggregate Risk and Nominal, Linear Financial Contracts," Working Papers hal-00599915, HAL.
17. Muendler, Marc-Andreas, 2007. "The possibility of informationally efficient markets," Journal of Economic Theory, Elsevier, vol. 133(1), pages 467-483, March.
18. Yuriy Gorodnichenko, 2008. "Endogenous information, menu costs and inflation persistence," NBER Working Papers 14184, National Bureau of Economic Research, Inc.
19. Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model," Papers 2208.14207, arXiv.org.
20. Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
21. Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
22. George M. Mukupa & Elias R. Offen, 2018. "The semi-martingale equilibrium equity premium for risk-neutral investors," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-15, December.
23. Agnes Bialecki & Eleonore Haguet & Gabriel Turinici, 2014. "Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions," Post-Print hal-00723189, HAL.
24. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2008. "What affects the market's ability to adjust for optimistic forecast bias? Evidence from experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 66(2), pages 358-372, May.
25. Michele Berardi, 2020. "Learning from Prices: Information Aggregation and Accumulation in an Asset Price Model," Economics Discussion Paper Series 2009, Economics, The University of Manchester.
26. Muendler, Marc-Andreas, 2005. "Rational Information Choice in Financial Market Equilibrium," University of California at San Diego, Economics Working Paper Series qt5q4764nj, Department of Economics, UC San Diego.
    • Marc-Andreas Muendler, 2005. "Rational Information Choice in Financial Market Equilibrium," CESifo Working Paper Series 1436, CESifo.
27. Baltakienė, Margarita & Kanniainen, Juho & Baltakys, Kęstutis, 2021. "Identification of information networks in stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
28. Dan Bernhardt & Bart Taub, 2006. "Kyle v. Kyle (’85 v. ’89)," Annals of Finance, Springer, vol. 2(1), pages 23-38, January.
29. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
30. Marc-Andreas Muendler, 2004. "The Existence of Informationally Efficient Markets When Individuals Are Rational," CESifo Working Paper Series 1295, CESifo.
    • Muendler, Marc-Andreas, 2004. "The Existence of Informationally Efficient Markets When Individuals Are Rational," University of California at San Diego, Economics Working Paper Series qt5tf543q2, Department of Economics, UC San Diego.
31. Michele Bee & Juan Pablo Gama, 2022. "A process of demand discovery from a smithian perspective," Textos para Discussão Cedeplar-UFMG 647, Cedeplar, Universidade Federal de Minas Gerais.