On the Possibility of Informationally Efficient Markets: Part b
AbstractA counter example to the Grossman and Stiglitz (1980) finding of the impossibility of informationally efficient markets is produced using discrete choice dynamics to govern the evolution of the trader population that choose between being informed or uninformed based on past performance.
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Bibliographic InfoPaper provided by Department of Economics, Rutgers University, Newark in its series Working Papers Rutgers University, Newark with number 2004-011.
Length: 9 pages
Date of creation: Oct 2004
Date of revision:
Market Efficiency; Learning; Discrete Choice Dynamics;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-11-22 (All new papers)
- NEP-DCM-2004-11-22 (Discrete Choice Models)
- NEP-FIN-2004-11-22 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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9530r, Wisconsin Madison - Social Systems.
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"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
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The Review of Economics and Statistics,
MIT Press, vol. 78(1), pages 94-110, February.
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- Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
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