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A Proof of the Existence of Speculative Equilibria

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  • Jackson Matthew O.

Abstract

The existence of speculative equilibria is proven in a simple overlapping generations, infinite horizon economy. In equilibrium, all agents bid assets according to increasing functions of private information which is uncorrelated with the fundamental value (dividend stream) of the asset. This is a unique best response to the strategies of the other agents, which implies that speculative information is valuable.
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  • Jackson Matthew O., 1994. "A Proof of the Existence of Speculative Equilibria," Journal of Economic Theory, Elsevier, vol. 64(1), pages 221-233, October.
    • Handle: RePEc:eee:jetheo:v:64:y:1994:i:1:p:221-233
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    Cited by:

    1. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, University Library of Munich, Germany.

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