On Information Acquisition , Noise Trading , and Speculation *
نویسنده
چکیده
This paper provides a micro foundation for the behavior assumptions as well as outcomes in noisy rational expectations equilibrium models. If there are gains from trade, and all agents are rational and can acquire costly information, then equilibria in double auction markets may have the following properties. (i) Ex ante identically informed agents evolve endogenously to noise traders, speculators, and defensive traders. (ii) Because of endogenous noise trading the price is not fully revealing. (iii) Because of defensive trading the allocation is inefficient. In addition, some market microstructure implications are discussed. Journal of Economic Literature Classification Numbers: G14, D82, D83
منابع مشابه
Information Acquisition, Noise Trading and Speculation in Double Auction Markets*
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