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Market Selection and Asymmetric Information

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  • George J. Mailath
  • Alvaro Sroni

Abstract

We 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 The Review of Economic Studies Limited, 2003.

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File URL: http://www.ssc.upenn.edu/~gmailath/wpapers/wpapers.html
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Paper provided by Penn Economics Department in its series Penn CARESS Working Papers with number d50f0ddbbf9f79b6e05bb90a5d0d23c1.

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Handle: RePEc:cla:penntw:d50f0ddbbf9f79b6e05bb90a5d0d23c1

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Cited by:
  1. 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.
  2. Jayant Ganguli & Scott Condie, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 720, University of Essex, Department of Economics.
  3. 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.
  4. 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.
  5. Luo, Guo Ying, 2012. "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, vol. 147(1), pages 310-335.

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