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Enhanced reliability and the demand impact of jointly normal distributed signals

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  • Braun, Thomas K.

Abstract

The objective of this paper is to contribute to a better understanding of rational expectations equilibria. These equilibria emerge from demand decisions of investors who try to extract Information about future market prices from current ones. Therefore from an eeonomisfs perspective it seems crucial to quantify the impact of information on investors' demand decisions in a way that readily allows for economic interpretation. Unfortunately matrix algebra although widely used in normal distribution theory has its shortfalls with respect to this aim. That is why this paper pro-vides a different approach.

Suggested Citation

  • Braun, Thomas K., 1994. "Enhanced reliability and the demand impact of jointly normal distributed signals," Tübinger Diskussionsbeiträge 33, University of Tübingen, School of Business and Economics.
    • Handle: RePEc:zbw:tuedps:33
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    References listed on IDEAS

    as
    1. 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.
    2. Gennotte, Gerard & Leland, Hayne, 1990. "Market Liquidity, Hedging, and Crashes," American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
    3. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
    4. Admati, Anat R, 1985. "A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets," Econometrica, Econometric Society, vol. 53(3), pages 629-657, May.
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