M^i Til M Mi' M ,./<b5v-35 /9s3 Working Paper Alfred P. Sloan School of Management Multiperiod Securities Markets with Differential Information: Martingales and Resolution Times* Multiperiod Securities Markets with Differential Information: Martingales and Resolution Times*
نویسنده
چکیده
We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expectations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly marketed events if they have rational expectations and if there are no free lunches. It then follows that if all the elementary events are marketed for a worse informed agent then any price system that admits no free lunches to a better informed agent must dynamically equalize the information asymmetry between the two. We provide an example of a dynamically fully revealing price system that is arbitrage free and yields elementarily complete markets.
منابع مشابه
Multiperiod Security Markets with Differential Information :
We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expectations. We introduce the concept of resolution time, and show that a better informed agent and a less informed agent must agree on the resolution times of commonly marketed events if they have rational expectations and if the...
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