Competitive Markets and Aggregate Information
AbstractThis paper shows that a competitive market structure is identically efficient to a Walrasian rational expectations market when risk-averse agents base trades only on unbiased private signals. Because price reflects the complete set of market information, it is a sufficient statistic. The economic role of competing market makers is thus to aggregate information efficiently.
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Bibliographic InfoArticle provided by Eastern Economic Association in its journal Eastern Economic Journal.
Volume (Year): 29 (2003)
Issue (Month): 4 (Fall)
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Find related papers by JEL classification:
- D41 - Microeconomics - - Market Structure and Pricing - - - Perfect Competition
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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