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Informational efficiency and welfare in the stock market

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  • Orosel, Gerhard O.
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    Bibliographic Info

    Article provided by Elsevier in its journal European Economic Review.

    Volume (Year): 40 (1996)
    Issue (Month): 7 (August)
    Pages: 1379-1411

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    Handle: RePEc:eee:eecrev:v:40:y:1996:i:7:p:1379-1411

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    1. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-38, August.
    2. Marshall, John M. & Sonstelie, Jon & Gilles, Christian, 1987. "Money and redistribution : Revisionist notes on a problem of samuelson," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 3-23, July.
    3. repec:fth:louvco:9131 is not listed on IDEAS
    4. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    5. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    6. Leland, Hayne E, 1992. "Insider Trading: Should It Be Prohibited?," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 859-87, August.
    7. Danthine, Jean-Pierre & Moresi, Serge, 1993. "Volatility, information and noise trading," European Economic Review, Elsevier, vol. 37(5), pages 961-982, June.
    8. Black, Jane M. & Tonks, Ian, 1992. "Asset price variability in a rational expectations equilibrium," European Economic Review, Elsevier, vol. 36(7), pages 1367-1377, October.
    9. Hakansson, Nils H & Kunkel, J Gregory & Ohlson, James A, 1982. " Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange," Journal of Finance, American Finance Association, vol. 37(5), pages 1169-81, December.
    10. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    11. Diamond, Peter A. & Stiglitz, Joseph E., 1974. "Increases in risk and in risk aversion," Journal of Economic Theory, Elsevier, vol. 8(3), pages 337-360, July.
    12. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
    13. Geanakoplos, J. & Polemarchakis, H., 1991. "Overlapping generations," CORE Discussion Papers 1991031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    14. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    15. Geanakoplos, John D. & Polemarchakis, Heraklis M., 1991. "Overlapping generations," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 35, pages 1899-1960 Elsevier.
    16. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-74, September.
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    Cited by:
    1. Andrea Morone, 2005. "Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts," Papers on Strategic Interaction 2005-27, Max Planck Institute of Economics, Strategic Interaction Group.
    2. Bernhard Eckwert & Itzhak Zilcha, 2003. "The Effect of Better Information on Income Inequality," CESifo Working Paper Series 969, CESifo Group Munich.
    3. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
    4. Krebs, Tom, 2005. "Fundamentals, information, and international capital flows: A welfare analysis," European Economic Review, Elsevier, vol. 49(3), pages 579-598, April.
    5. Burkhard Drees & Bernhard Eckwert, 2002. "Welfare Effects of Transparency in Foreign Exchange Markets," IMF Working Papers 02/219, International Monetary Fund.
    6. Grant, S. & Quiggin, J., 2001. "Noise Trader Risk and the Political Economy of Privatization," Discussion Paper 2001-104, Tilburg University, Center for Economic Research.
    7. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity: Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
    8. Broll, Udo & Eckwert, Bernhard, 2004. "Transparency in the Interbank Market and the Volume of Bank Intermediated Loans," Dresden Discussion Paper Series in Economics 10/04, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
    9. Eckwert, Bernhard & Zilcha, Itzhak, 2001. "The Value of Information in Production Economies," Journal of Economic Theory, Elsevier, vol. 100(1), pages 172-186, September.

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