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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Oxford University Press in its journal The Review of Economic Studies.
Volume (Year): 70 (2003)
Issue (Month): 2 ()
Contact details of provider:
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, . "Market Selection and Asymmetrick Information," CARESS Working Papres 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 mkt-selection, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- Scott Condie & Jayant Ganguli, 2012.
"The Pricing Effects of Ambiguous Private Information,"
INET Research Notes
16, Institute for New Economic Thinking (INET).
- Jayant Ganguli & Scott Condie, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 720, University of Essex, Department of Economics.
- 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.
- Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer, vol. 29(1), pages 123-150, September.
- Luo, Guo Ying, 2012. "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, vol. 147(1), pages 310-335.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.