Market structure, security prices, and informational efficiency

Macroeconomic Dynamics

Volumn 1, Issue 1, 1997, Pages 169-205

  Huang, Jennifer ^a   Wang, Jiang ^a,b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Communication Efficiency; Market Structure; Securities Market; Security Prices

Indexed keywords

EID: 0031331033     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/s136510059700206x     Document Type: Article

References (44)

1. Ahlfors, L. V. (1979) Complex Analysis, 3rd ed. New York: McGraw-Hill Book Co.
2. Allen, F & D. Gale (1994) Financial Innovation and Risk Sharing. Cambridge, MA: MIT Press.
3. Arrow, K. (1964) The role of securities in the optimal allocation of risk-bearing. Review of Economic Studies 31, 91-96.
4. Back, K (1993) Asymmetric information and options. Review of Financial Studies 6, 435-472.
5. Brennan, M.J. & H.H., Cao (1996) Information trade, and derivative securities. Review of Financial Studies 9, 163-208.
6. Campbell, J.Y. & A.S. Kyle (1993) Smart money, noise trading, and stock price behavior. Review of Economic Studies 60, 1-34.
7. Cuoco, D. (1995) Optimal Policies and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income. Unpublished manuscript, University of Pennsylvania.
8. Debreu, G. (1959) Theory of Value. New Haven, CT: Yale University Press.
9. Detemple. J.B. (1994) Asset Pricing in an Intertemporal Noisy Rational Expectations Equilibrium. Unpublished manuscript, MIT.
10. Detemple, J.B. (1995) The Valuation of Non-traded Assets. Unpublished manuscript, MIT.
11. Doob, J.L. (1991) Measure Theory. New York: Springer-Verlag.
12. Duffie, D., W. Fleming & T. Zariphopoulou (1993) Hedging in Incomplete Markets with HARA Utility. Unpublished manuscript, Stanford University.
13. Duffie, D. & C. Huang (1985) Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica 53, 1337-1356.
14. Duffie, D. & R. Rahi (1995) Financial market innovation and security design: An introduction. Journal of Economic Theory 65, 1-42.
15. Grossman, S.J. (1977) The existence of futures markets, noisy rational expectations and informational externalities. Review of Economic Studies 44, 431-449.
16. Grossman, S. J. (1988) An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies. Journal of Business 61, 275-298.
17. Grossman, S.J. (1995) Presidential address: Dynamic asset allocation and the informational efficiency of markets. Journal of Finance 50, 773-788.
18. Grossman, S.J. & J. Stiglitz (1980) On the impossibility of informationally efficient markets. American Economic Review 70, 393-408.
19. Grossman, S.J. & Z. Zhou (1996) Equilibrium analysis of portfolio insurance. Journal of Finance 51, 1379-1403.
20. Harrison, J.M. & D. Kreps (1979) Martingales and multiperiod securities markets. Journal of Economic Theory 20, 381-408.
21. Harrison, J.M. & S.R. Pliska (1981) Martingales and stochastic integrals in the theory of continuous trading. Stochastic Process Applications 11, 215-260.
22. Hayek, E.A. (1945) The use of knowledge in society. American Economic Review 35, 519-530.
23. He, H. & H.F. Pagès (1993) Labor income, borrowing constraints, and equilibrium asset prices: A duality approach. Economic Theory 3, 663-696.
24. He, H. & N.D. Pearson (1991) Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case. Journal of Economic Theory 54, 259-305.
25. Heaton, J. & D. Lucas (1996) Evaluating the effects of incomplete markets of risk sharing and asset pricing. Journal of Political Economy 104, 443-487.
26. Hong, H.G. (1996) A Model Futures Returns and Trading Under Asymmetric Information. Unpublished manuscript, MIT.
27. Judd K.L. & A. Bernardo (1994) Asset Market Equilibrium with General Tastes, Securities, and Informational Asymmetries. Unpublished manuscript, Stanford University.
28. Karatzas, I., J.P. Lehoczky, S.E. Shreve & G.L. Xu (1991) Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal of Control and Optimization 29, 702-730.
29. Karatzas, I. & S.E. Shreve (1988) Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.
30. Koo, H.K. (1994a) Consumption and Portfolio Choice with Labor income, I: Evaluation of Human Capital. Unpublished manuscript, Washington University at St. Louis.
31. Koo, H.K. (1994b) Consumption and Portfolio Choice with Labor Income, II: The Life Cycle-Permanent Income Hypothesis. Unpublished manuscript, Washington University at St. Louis.
32. Lipster, R.S. & A.N. Shriyayev (1977) Statistics of Random Processes, I: General Theory. New York: Springer-Verlag.
33. Lucas, D.J. (1994) Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle. Journal of Monetary Economics 34, 325-341.
34. Lucas, R.E., Jr. (1978) Asset prices in an exchange economy. Econometrica 46, 1429-1445.
35. Marcet, A. & K.J. Singleton (1990) Optimal Consumption Savings Decisions and Equilibrium Asset Prices in a Model with Heterogeneous Agents Subject to Short-Sales Constraints. Unpublished manuscript, Stanford University.
36. Merton, R. (1971) Optimal consumption and portfolio rules in a continuous time model. Journal of Economic Theory 3, 373-413.
37. Merton, R. (1989) Continuous-Time Finance. Oxford: Blackwell.
38. Protter, M.H. & C.B. Morrey (1991) A First Course in Real Analysis, 2nd ed. New York: Springer-Verlag.
39. Radner, R. (1972) Existence of equilibrium of plans, prices and price expectations in a sequence of markets. Econometrica 40, 289-303.
40. Scheinkman, J.A. & L. Weiss (1986) Borrowing constraints and aggregate economic activity. Econometrica 54, 23-45.
41. Svensson, L.E.O. & I. Werner (1993) Non-trade assets in incomplete markets: Pricing and portfolio choices. European Economic Review 37, 1149-1168.
42. Telmer, C.I. (1993) Asset-pricing puzzles and incomplete markets. Journal of Finance 48, 1803-1832.
43. Wang, J. (1993) A model of intertemporal asset prices under asymmetric information. Review of Economic Studies 60, 249-282.
44. Willems, J.C. & P.M. Callier (1991) The infinite horizon and the receding horizon LQ-problems with partial stabilization constraints. In S. Bittanti, A.J. Laub, and J.C. Willems (eds.), The Riccati Equation. New York: Springer-Verlag.