Market Selection and Asymmetric Information
AbstractWe consider a dynamic general equilibrium asset pricing model with heterogeneous agents and asymmetric information. We show how agents' different methods of gathering information affect their chances of survival in the market depending upon the nature of the information and the level of noise in the economy. Copyright The Review of Economic Studies Limited, 2003.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 70 (2003)
Issue (Month): 2 (04)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- George J. Mailath & Alvaro Sroni, . "Market Selection and Asymmetric Information," Penn CARESS Working Papers d50f0ddbbf9f79b6e05bb90a5, Penn Economics Department.
- George J. Mailath & Alvaro Sandroni, 2000. "Market Selection and Asymmetric Information," CARESS Working Papres mkt-selection, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- George J. Mailath & Alvaro Sandroni, . "Market Selection and Asymmetrick Information," CARESS Working Papres 00-07, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
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- Emanuela Sciubba, 2006.
"The evolution of portfolio rules and the capital asset pricing model,"
Springer, vol. 29(1), pages 123-150, September.
- Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge.
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- Jayant Ganguli & Scott Condie, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 720, University of Essex, Department of Economics.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Luo, Guo Ying, 2012. "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, vol. 147(1), pages 310-335.
- Blume, Lawrence & Easley, David, 2009. "The market organism: Long-run survival in markets with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1023-1035, May.
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