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Équilibres financiers concurrentiels avec risque d'information privée

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  • Pierre-Marie Larnac

Abstract

[fre] Equilibres financiers concurrentiels avec risque d'information privée. . Dans le cadre d'un modèle simple d'équilibre d'une économie avec production et marché financier, sont étudiées les conséquences qu'a une diffusion aléatoire d'informations sur la volatilité des cours boursiers. L'analyse se déroule sur une seule période. Une possibilité de bruitage supplémentaire est introduite. [eng] Financial equiubrium wtth randomly disseminated information. . This paper presents a simple one period model of an economy with production and a financial market. Asset priee dispersion is a consequence of information being randomly disseminated among traders and of market prices being used as signais. Noise trading distorts the interpretation of those signals.

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  • Pierre-Marie Larnac, 1990. "Équilibres financiers concurrentiels avec risque d'information privée," Revue Économique, Programme National Persée, vol. 41(5), pages 799-816.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409239
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    1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, vol. 44(3), pages 681-696, July.
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    5. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    6. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
    7. Verrecchia, Robert E., 1980. "The rapidity of price adjustments to information," Journal of Accounting and Economics, Elsevier, vol. 2(1), pages 63-92, March.
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