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Market Selection and Asymmetric Information

  • George J. Mailath
  • Alvaro Sroni

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 2003, Wiley-Blackwell.

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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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