In three related papers, we consider a pure exchange financial economy, where agents may observe private information signals, form private anticipations and face an "exogenous uncertainty", on the future state, and an "endogenous uncertainty", on the future prices. At a sequential equilibrium,...

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state (s) which would grant the agent an...

We consider a pure exchange financial economy, where agents observe private information signals, form private anticipations and face an "exogenous uncertainty" on the future state, and an "endogenous uncertainty", on the future prices. At a sequential equilibrium, all agents expect the "true"...

By introducing repro markets we understand how agents need to borrow issued securities before shorting them : (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of...

We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent's portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained...

We consider a pure exchange financial economy, where rational agents, possibly asymmetrically informed, forecast prices privately and, therefore, face “exogenous uncertainty”, on the future state of nature, and “endogenous uncertainty” on future prices. At a sequential equilibrium, all...