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 2003, Wiley-Blackwell.
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Bibliographic InfoArticle provided by Oxford University Press in its journal The Review of Economic Studies.
Volume (Year): 70 (2003)
Issue (Month): 2 ()
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Other versions of this item:
- George J. Mailath & Alvaro Sandroni, . "Market Selection and Asymmetrick Information," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences 00-07, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- George J. Mailath & Alvaro Sandroni, 2000. "Market Selection and Asymmetric Information," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences mkt-selection, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- George J. Mailath & Alvaro Sroni, . "Market Selection and Asymmetric Information," Penn CARESS Working Papers, Penn Economics Department d50f0ddbbf9f79b6e05bb90a5, Penn Economics Department.
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- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers, Yale School of Management amz2648, Yale School of Management, revised 01 May 2008.
- Blume, Lawrence & Easley, David, 2009. "The market organism: Long-run survival in markets with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(5), pages 1023-1035, May.
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