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The possibility of informationally efficient markets

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  • Muendler, Marc-Andreas

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 133 (2007)
Issue (Month): 1 (March)
Pages: 467-483

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Handle: RePEc:eee:jetheo:v:133:y:2007:i:1:p:467-483

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Web page: http://www.elsevier.com/locate/inca/622869

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References

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  1. Bhattacharya, Sudipto & Pfleiderer, Paul, 1985. "Delegated portfolio management," Journal of Economic Theory, Elsevier, Elsevier, vol. 36(1), pages 1-25, June.
  2. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, American Economic Association, vol. 61(4), pages 561-74, September.
  3. Marin, Jose M & Rahi, Rohit, 2000. "Information Revelation and Market Incompleteness," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 67(3), pages 563-79, July.
  4. Citanna, Alessandro & Villanacci, Antonio, 2000. "Existence and regularity of partially revealing rational expectations equilibrium in finite economies," Journal of Mathematical Economics, Elsevier, vol. 34(1), pages 1-26, August.
  5. Morris, Stephen & Shin, Hyun Song, 1997. "Unique Equilibrium in a Model of Self-fulfilling Currency Attacks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1687, C.E.P.R. Discussion Papers.
  6. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, American Economic Association, vol. 70(3), pages 393-408, June.
  7. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, Econometric Society, vol. 47(3), pages 655-78, May.
  8. James Dow & Rohit Rahi, 1996. "Informed Trading, Investment and Welfare," Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics 029, Birkbeck, Department of Economics, Mathematics & Statistics.
  9. Roy Radner, 1997. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Levine's Working Paper Archive 1594, David K. Levine.
  10. Barlevy, Gadi & Veronesi, Pietro, 2000. "Information Acquisition in Financial Markets," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 67(1), pages 79-90, January.
  11. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
  12. Xavier Vives, 1992. "The Speed of Information Revelation in a Financial Market Mechanism," CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ 0016, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
  13. Admati, Anat R., 1991. "The informational role of prices : A review essay," Journal of Monetary Economics, Elsevier, Elsevier, vol. 28(2), pages 347-361, October.
  14. Maureen O'Hara, 2003. "Presidential Address: Liquidity and Price Discovery," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1335-1354, 08.
  15. Wolfgang Pesendorfer & Jeroen M. Swinkels, 1996. "Efficiency and Information Aggregation in Auctions," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1168, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  16. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, Elsevier, vol. 58(1), pages 9-40, October.
  17. James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer, Springer, vol. 13(3), pages 603-628.
  18. Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, Econometric Society, vol. 68(6), pages 1303-1342, November.
  19. Diamond, Douglas W, 1985. " Optimal Release of Information by Firms," Journal of Finance, American Finance Association, American Finance Association, vol. 40(4), pages 1071-94, September.
  20. Jackson, Matthew O, 1991. "Equilibrium, Price Formation, and the Value of Private Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(1), pages 1-16.
  21. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, American Economic Association, vol. 66(2), pages 246-53, May.
  22. Jordan, J S, 1983. "On the Efficient Markets Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 51(5), pages 1325-43, September.
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Cited by:
  1. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  2. Goldbaum, David, 2006. "Self-organization and the persistence of noise in financial markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(9-10), pages 1837-1855.
  3. Scott Condie & Jayant Ganguli, 2012. "The Pricing Effects of Ambiguous Private Information," INET Research Notes 16, Institute for New Economic Thinking (INET).
  4. Robert S. Gibbons & Richard T. Holden & Michael L. Powell, 2010. "Rational-Expectations Equilibrium in Intermediate Good Markets," NBER Working Papers 15783, National Bureau of Economic Research, Inc.
  5. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, Elsevier, vol. 5(3), pages 156-161, September.

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