We develop a model of noisy rational expectations equilibrium in segmented markets. The noise emerges endogenously through intermarket effects rather than through exogenous supply noise from liquidity or naive trading as in standard noisy rational expectations equilibrium of the Hellwig type....

I: Introduction -- John E. Butterworth’s Pioneering Contributions to the Accounting and Information Economics Literature -- to the Research Papers in this Volume -- II: Information Evaluation in Multiperson Contexts -- 1. Blackwell Informativeness and Sufficient Statistics with Applications to...

Investment behavior is analyzed using a dynamic portfolio model including off-farm income. The correlation structure of off-farm income and asset returns and the ratio of off-farm income to wealth is shown to affect portfolio choice. Empirical analysis indicates that off-farm income tends to...