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Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information

  • DeMarzo, Peter
  • Skiadas, Costis

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File URL: http://www.sciencedirect.com/science/article/pii/S0022-0531(98)92398-5
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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 80 (1998)
Issue (Month): 1 (May)
Pages: 123-152

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Handle: RePEc:eee:jetheo:v:80:y:1998:i:1:p:123-152
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Robert A. Pollak, 1971. "Additive Utility Functions and Linear Engel Curves," Review of Economic Studies, Oxford University Press, vol. 38(4), pages 401-414.
  2. Polemarchakis, H. & Siconolfi, P., 1991. "Asset markets and the information revealed by prices," CORE Discussion Papers 1991034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
  4. Jayasri Dutta & Stephen Morris, . ""The Revelation of Information and Self-Fulfilling Beliefs''," CARESS Working Papres 95-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  5. Bengt Holmstrom & Roger B. Myerson, 1981. "Efficient and Durable Decision Rules with Incomplete Information," Discussion Papers 495, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  7. Frank Milne, 1979. "Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets," Review of Economic Studies, Oxford University Press, vol. 46(3), pages 407-417.
  8. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
  9. Jordan, James S. & Radner, Roy, 1982. "Rational expectations in microeconomic models: An overview," Journal of Economic Theory, Elsevier, vol. 26(2), pages 201-223, April.
  10. Anderson, Robert M. & Sonnenschein, Hugo, 1982. "On the existence of rational expectations equilibrium," Journal of Economic Theory, Elsevier, vol. 26(2), pages 261-278, April.
  11. Guangsug Hahn & Nicholas C. Yannelis, 1997. "Efficiency and incentive compatibility in differential information economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 10(3), pages 383-411.
  12. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  13. Nielsen, Lars Tyge, 1996. "Common knowledge: The case of linear regression," Journal of Mathematical Economics, Elsevier, vol. 26(3), pages 285-304.
  14. Grossman, Sanford, 1978. "Further results on the informational efficiency of competitive stock markets," Journal of Economic Theory, Elsevier, vol. 18(1), pages 81-101, June.
  15. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February.
  16. Roy Radner, 1997. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Levine's Working Paper Archive 1594, David K. Levine.
  17. Ausubel, Lawrence M., 1990. "Partially-revealing rational expectations equilibrium in a competitive economy," Journal of Economic Theory, Elsevier, vol. 50(1), pages 93-126, February.
  18. Sanford Grossman, 1978. "Further results on the informational efficiency of competitive stock markets," Special Studies Papers 114, Board of Governors of the Federal Reserve System (U.S.).
  19. Allen, Beth, 1985. "The existence of fully rational expectations approximate equilibria with noisy price observations," Journal of Economic Theory, Elsevier, vol. 37(2), pages 213-253, December.
  20. Peter DeMarzo & Costis Skiadas, 1999. "On the uniqueness of fully informative rational expectations equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(1), pages 1-24.
  21. Brennan, M. J. & Kraus, Alan, 1978. "Necessary Conditions for Aggregation in Securities Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(03), pages 407-418, September.
  22. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, vol. 1(3), pages 225-244, September.
  23. Ross, Stephen A., 1978. "Mutual fund separation in financial theory--The separating distributions," Journal of Economic Theory, Elsevier, vol. 17(2), pages 254-286, April.
  24. Madrigal, Vicente & Smith, Stephen D, 1995. "On Fully Revealing Prices When Markets Are Incomplete," American Economic Review, American Economic Association, vol. 85(5), pages 1152-59, December.
  25. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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