منابع مشابه
Asset Pricing Under Asymmetric Information About Distribution of Risk Aversion∗
We study a dynamic competitive equilibrium model with asymmetric information about time-variant aggregate risk aversion. We show that there still exists a linear price function in out model, a nice result in the other asymmetric information competitive equilibrium models. Furthermore, we show that in our model, asymmetric information play a role in the long run risk premium. When the proportion...
متن کاملTesting Asymmetric-Information Asset Pricing Models
We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncerta...
متن کاملAsset Pricing Under Heterogeneous Information
In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called “infinite regress” problem, which makes the analysis of asset pricing under heterogenous information challenging. In this paper, we solve...
متن کاملPlatform Pricing under Dispersed Information
We study monopoly and duopoly pricing in a two-sided market with dispersed information about userspreferences. We rst show how the dispersion of information introduces idiosyncratic uncertainty about participation rates and how the latter shapes the elasticity of the demands and thereby the equilibrium prices. We then study informative advertising campaigns and product design a¤ecting the age...
متن کاملAsymmetric Information and Legislative Rules: Some Amendments
We re-examine the major tenets of the informational theory of legislative rules, focusing on the informational efficiency of rules with varying degrees of restrictiveness. When committees are heterogeneous, full efficiency is attainable under the unrestrictive open rule as well as the somewhat restrictive modiÞed rule. In contrast, the restrictive closed rule always leads to inefficiencies. Whe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2007
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps:2007007