The authors analyze the existence and uniqueness of equilibrium in a class of monopolistic rational expectations models. They show the equivalence between the Kyle (1985) model of inside trading where the insider observes the amount of noise trading and the Kyle (1989) model of informed...

This paper studies a dynamic model of a financial market with N strategic agents. Agents receive random stock endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. The author finds that agents trade slowly even when the time between...

We propose a model of organizational decision making, in which information processing is decentralized. Our model incorporates two features of many actual organizations: aggregation entails a loss of useful information, and the decision problems of different agents interact. We assume that an...

We develop a model of the gambler's fallacy--the mistaken belief that random sequences should exhibit systematic reversals. We show that an individual who holds this belief and observes a sequence of signals can exaggerate the magnitude of changes in an underlying state but underestimate their...

We propose a model of organizational decision making, in which information processing is decentralized. Our model incorporates two features of many actual organizations: aggregation entails a loss of useful information, and the decision problems of different agents interact. We assume that an...