On the Possibility of Informationally Efficient Markets: Part b
A counter example to the Grossman and Stiglitz (1980) finding of the impossibility of informationally efficient markets is produced using discrete choice dynamics to govern the evolution of the trader population that choose between being informed or uninformed based on past performance.
|Date of creation:||Oct 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (973) 353-5259
Web page: http://www.ncas.rutgers.edu/economics
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marcet, Albert & Sargent, Thomas J, 1989. "Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information," Journal of Political Economy, University of Chicago Press, vol. 97(6), pages 1306-22, December.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
- Sethi, Rajiv & Franke, Reiner, 1995. "Behavioural Heterogeneity under Evolutionary Pressure: Macroeconomic Implications of Costly Optimisation," Economic Journal, Royal Economic Society, vol. 105(430), pages 583-600, May.
- Brock, W.A. & Hommes, C.H., 1996.
"A Rational Route to Randomness,"
9530r, Wisconsin Madison - Social Systems.
- William A. Brock & Blake D. LeBaron, 1995.
"A Dynamic Structural Model for Stock Return Volatility and Trading Volume,"
NBER Working Papers
4988, National Bureau of Economic Research, Inc.
- Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 94-110, February.
When requesting a correction, please mention this item's handle: RePEc:run:wpaper:2004-011. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vlad Manole)
If references are entirely missing, you can add them using this form.