Economies with asymmetric information are encompassed by an extension of the model of general competitive equilibrium that does not require an explicit modeling of private information. Sellers have discretion over deliveries on contracts; this is in common with economies with default, incomplete...

The conflict between Pareto optimality and incentive compatibility, that is, the fact that some Pareto optimal (efficient) allocations are not incentive compatible is a fundamental fact in information economics, mechanism design and general equilibrium with asymmetric information. This important...

This paper studies competitive equilibria in economies characterized by the presence of asymmetric information, where non-exclusive contracts are traded on competitive markets and agents may be privately informed over their payoff. For such economies competitive equilibria may not exist when...

Individuals exchange contracts for the deliveryof commodities in competitive markets and, simultaneously, act strategically; actions affect utilities across individuals directlyor through the payoffs of contracts. This encompasses economies with asymmetric information. Nash-Walras equilibria...

Economies with asymmetric information are encompassed by an extension of the model of general competitive equilibrium that does not require an explicit modeling of private information. Sellers have discretion over deliveries on contracts; this is in common with economies with default, incomplete...

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that render the market complete. I show a major difference in equilibrium behaviour between models with constant absolute risk aversion (CARA) and non-CARA preferences. First, when...

Asymmetric information concerns either commodities or mutually exclusive states of the world. The notion of competitive equilibrium differs between the two cases. In particular, incentive compatibility constraints are only relevant in the case of asymmetric information concerning mutually...

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...

This paper examines trading imbalance as well as traditional trading variables in the volume-volatility relation in futures market. Unlike the majority of studies which utilize daily data, our empirical investigation compares an array of intraday frequencies (from five minutes to one hour) with...

This paper develops a tractable real options framework to analyze the effects of asymmetric information on investment and financing decisions when firms require external funds to finance investment. Our analysis shows that corporate insiders can signal their private information to outside...