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Le prix des titres comme véhicule de l’information: une approche en équilibre général

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  • Hubert Stahn

    (BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

Summary In this paper I introduce asymetric information in a general equilibrium model characterized by uncertainty and the existence of incomplete financial markets. This model of one good and S states of nature is associated with the concept of equilibrium with rational expectations; and we show that there exists a generic class of economies for which the equilibrium price in the financial markets is perfectly revealing of the information asymmetries. From that point of view, the model follows the ideas of Radner[1968] yet makes use of the recent developements in the theory of incomplete markets.

Suggested Citation

  • Hubert Stahn, 1996. "Le prix des titres comme véhicule de l’information: une approche en équilibre général," Post-Print hal-05220974, HAL.
    • Handle: RePEc:hal:journl:hal-05220974
    DOI: 10.1017/S0770451800004802
    Note: View the original document on HAL open archive server: https://hal.science/hal-05220974v1
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    References listed on IDEAS

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    1. Jordan, J. S., 1982. "The generic existence of rational expectations equilibrium in the higher dimensional case," Journal of Economic Theory, Elsevier, vol. 26(2), pages 224-243, April.
    2. Polemarchakis, H M & Siconolfi, P, 1993. "Asset Markets and the Information Revealed by Prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(4), pages 645-661, October.
    3. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-678, May.
    4. Allen, Beth E, 1981. "Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information," Econometrica, Econometric Society, vol. 49(5), pages 1173-1199, September.
    5. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
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    1. Stahn, Hubert, 2000. "A remark on rational expectation equilibria with incomplete markets and real assets," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 441-448, May.

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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium

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