Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information

Journal of Economic Theory

Volumn 80, Issue 1, 1998, Pages 123-152

  DeMarzo, Peter ^a   Skiadas, Costis ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NORTHWESTERN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002245492     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1006/jeth.1998.2398     Document Type: Article

References (36)

1. Admati A. Information in financial markets: The rational expectations approach. Financial Markets and Incomplete Information. 1989;Rowman and Littlefield, Totowa.
2. Allen B. The existence of fully rational expectations approximate equilibria with noisy price observations. J. Econ. Theory. 37:1985;213-253.
3. Allen B., Jordan J. The Existence of Rational Expectations Equilibrium: A Retrospective. 1995;University of MinnesotaDepartment of Economics.
4. Anderson R., Sonnenschein H. On the existence of rational expectations equilibrium. J. Econ. Theory. 26:1982;261-278.
5. Ausubel L. M. Partially-revealing rational expectations equilibrium in a competitive economy. J. Econ. Theory. 50:1990;93-126.
6. Berk J. Necessary conditions for the CAPM. J. Econ. Theory. 73:1997;245-257.
7. Bernardo A., Judd K. Volume and Price Formation when Investors are Uncertain about the Mean and Variance of Security Returns. 1997;U.C.L.A.Anderson Graduate School of Management.
8. Brennan M., Kraus A. Necessary conditions for aggregation in securities markets. J. Fin. Quant. Anal. 1978;407-418.
9. Cass D., Stiglitz J. The structure of investor preferences and asset returs, and separability in portfolio allocation: a contribution to the pure theory of mutual funds. J. Econ. Theory. 2:1970;122-160.
10. DeMarzo P., Skiadas C. On the uniqueness of fully informative rational expectations equilibria. Econ. Theory. 1998.
11. Duffie D., Kan R. Universal State Prices and Asymmetric Information. 1991;Stanford University.
12. Dutta J., Morris S. The revelation of information and self-fulfilling beliefs. J. Econ. Theory. 73:1997;231-244.
13. Fudenberg D., Tirole J. Game Theory. 1991;MIT Press, Cambridge.
14. Gorman W. Community preference fields. Econometrica. 21:1953;63-80.
15. Grossman S. On the efficiency of competitive stock markets where agents have diverse information. J. Finance. 31:1976;573-585.
16. Grossman S. Further results on the informational efficiency of competitive stock markets. J. Econ. Theory. 18:1978;81-101.
17. Hahn G., Yannelis N. C. Efficiency and incentive compatibility in differential information economies. Econ. Theory. 10:1997;383-412.
18. Harrison J. M., Kreps D. M. Martingales and arbitrage in multiperiod securities markets. J. Econ. Theory. 20:1979;381-408.
19. Holmström B., Myerson R. B. Efficient and durable decision rules with incomplete information. Econometrica. 51:1983;1799-1820.
20. Ingersoll J. E. Theory of Financial Decision Making. 1987;Rowman and Littlefield, Totowa.
21. Jordan J. S., Radner R. Rational expectations in microeconomic models: An overview. J. Econ. Theory. 26:1982;201-223.
22. Kreps D. M. A note on "Fulfilled Expectations" equilibria. J. Econ. Theory. 14:1977;32-43.
23. Lintner J. The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econ. Stat. 47:1965;13-37.
24. Madrigal V., Smith S. D. On fully revealing prices when markets are incomplete. Amer. Econ. Rev. 85:1995;1152-1159.
25. Magill M., Quinzii M. Theory of Incomplete Markets. 1996;MIT press, Cambridge.
26. Milgrom P., Stokey N. Information, trade, and common knowledge. J. Econ. Theory. 26:1982;17-27.
27. Milne F. Consumer preferences, linear demand functions and aggregation in competitive asset markets. Rev. Econ. Stud. 46:1979;407-417.
28. Nielsen L. T. Common knowledge: The case of linear regression. J. Math. Econ. 26:1996;285-304.
29. Polemarchakis H. M., Siconolfi P. Asset markets and the information revealed by prices. Econ. Theory. 3:1993;645-662.
30. Pollak R. A. Additive utility functions and linear engel curves. Rev. Econ. Stud. 38:1971;401-414.
31. Radner R. Rational expectations equilibrium: Generic existence and the information revealed by prices. Econometrica. 47:1979;655-678.
32. Ross S. Mutual fund separation in financial theory: The separating distributions. J. Econ. Theory. 17:1978;254-286.
33. Rubinstein M. An aggregation theorem for securities markets. J. Fin. Econ. 1:1974;225-244.
34. Sharpe W. Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance. 19:1964;425-442.
35. Shell K. Sunspot equilibrium. Eatwell, Milgate, Newman. The New Palgrave: A Dictionary of Economics. 1987;Macmillan & Co. London.
36. Tobin J. Liquidity preference as behavior towards risk. Rev. Econ. Stud. 26:1958;65-86.