Asymmetric information in a competitive market game: Reexamining the implications of rational expectations

We examine price formation in a simple static model with asymmetric information, an infinite number of risk neutral traders and no noise traders. Here we re-examine four results associated with rational expectations models relating to the existence of fully revealing equilibrium prices, the advantage of becoming informed, the costly acquisition of information, and the impossibility of having equilibrium prices with higher volatility than the underlying fundamentals.

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Year of publication:	1999-04-15
Authors:	Peck, James ; Jackson, Matthew O.
Published in:	Economic Theory. - Springer. - Vol. 13.1999, 3, p. 603-628
Publisher:	Springer
Subject:	Market game Excess volatility \| Rational expectations \| Asymmetric information \| Information acquisition.

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Extent:	application/pdf
Type of publication:	Article
Notes:	Received: August 27, 1997; revised version: February 11, 1998
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005753401