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Asymétries d'information et marchés financiers : une synthèse de la littérature récente

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  • Thierry Foucault

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Bruno Biais

Abstract

The impact of different hypotheses on the existence and informativeness of rational expectations equilibria is analyzed within a simple synthetic model. The case of perfect competition is first analyzed (Grossman and Stiglitz, 1980). Second imperfect competition with exogenous noise trading is studied (KyIe 1985, 1989). Informational efficiency is lower than in the previous case, because of the strategic behaviour of the insider. Third, imperfect competition without noise trader, but with unknown random endowments of the informed agent is analyzed (Glosten, 1989; Bhattacharya and Spiegel, 1990; Bossaerts and Hughson, 1991). In contrast with the previous case, equilibrium exists only if there is enough noise.

Suggested Citation

  • Thierry Foucault & Bruno Biais, 1993. "Asymétries d'information et marchés financiers : une synthèse de la littérature récente," Post-Print hal-00711386, HAL.
    • Handle: RePEc:hal:journl:hal-00711386
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