Informational efficiency and welfare in the stock market

European Economic Review

Volumn 40, Issue 7, 1996, Pages 1379-1411

  Orosel, Gerhard O ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

Equilibrium; Informational efficiency; Overlapping generations model; Stock market

Indexed keywords

EID: 0006738532     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/0014-2921(95)00033-X     Document Type: Article

References (19)

1. Black, Jane M. and Ian Tonks, 1992, Asset price variability in a rational expectations equilibrium, European Economic Review 36, 1367-1377.
2. Danthine, Jean-Pierre and Serge Moresi, 1993, Volatility, information, and noise trading, European Economic Review 37, 961-982.
3. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
4. Dennert, Jürgen, 1992, Insider trading and the cost of capital in a multi-period economy, Financial Markets Group discussion paper no. 128, (LSE, London) Jan.
5. Diamond, Peter A. and Joseph E. Stiglitz, 1974, Increases in risk and in risk aversion, Journal of Economic Theory 8, 337-360.
6. Dybvig, Philip H. and Stephen A. Ross, 1987, Arbitrage, In: John Eatwell et al., eds., The new Palgrave (MacMillan, London) 100-106.
7. Geanakoplos, John D. and Heraklis M. Polemarchakis, 1991, Overlapping generations, In: Werner Hildenbrand and Hugo Sonnenschein, eds., Handbook of mathematical economics, Vol. IV (North-Holland, Amsterdam) 1889-1960.
8. Grossman, J. Sanford and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
9. Hakansson, Nils H., J. Gregory Kunkel and James A. Ohlson, 1982, Sufficient and necessary conditions for information to have social value in pure exchange, Journal of Finance 37, 1169-1181.
10. Hardy, G.H., J.E. Littlewood and G. Pólya, 1952, Inequalities, Second edition (Cambridge University Press, London).
11. Harrison, J. Michael and David M. Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 20, 381-408.
12. Hirshleifer, Jack, 1971, The private and social value of information and the reward to inventive activity, American Economic Review 61, 561-574.
13. Hirshleifer, Jack and John G. Riley, 1979, The analytics of uncertainty and information - An expository survey, Journal of Economic Literature 17, 1375-1421.
14. Keynes, John Maynard, 1936, The general theory of employment, interest and money (MacMillan, London).
15. Leland, Hayne E., 1992, Insider trading: Should it be prohibited?, Journal of Political Economy 100, 859-887.
16. Lucas, Robert E., 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1445.
17. Marshall, John M., Jon Sonstelie and Christian Gilles, 1987, Money and redistribution: Revisionist notes on a problem by Samuelson, Journal of Monetary Economics 20, 3-23.
18. Rothschild, Michael and Joseph E. Stiglitz, 1970, Increasing risk I: A definition, Journal of Economic Theory 2, 225-243.
19. Shleifer, Andrei and Lawrence H. Summers, 1990, The noise trader approach to finance, Journal of Economic Perspectives 4, 19-33.