Accommodating asymmetric information in a dynamic asset pricing model is technically challenging due to the problems associated with higher-order expectations. That is, rational investors are forced into a situation where they must forecast the forecasts of other agents. In a dynamic setting, this problem telescopes into the infinite future and the dimension of the relevant state space approach...

In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors exploit a private learning channel to infer the demand of liquidity traders from the order flow to anticipate the evolution of the future aggregate demand for the stock. This yields multipl...

In building a governance regime to address climate change, should we prioritize the development of global institutions or national ones? This paper adds insight to the issue of how much international coordination on climate governance is optimal by focusing on two neglected characteristics of the problem: first, the crucial role of incentives for private sector investors in low-carbon energy te...

A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price—contrary to a wide-held conjecture. Whereas a continuum of investors is inconsistent with fully revealing equilibrium, finitely many investors with average portfolios demand information in equilibrium if they can adjust portfolio size in an additive-signal return model...

Keynes (1936) was right to emphasize that the investors' expectations have a paramount effect on the evolution of the national economy. Indeed, an impor­ tant part of the role of the financial services sector in a modern economy is to try to forecast how the central bank will react to macroeconomic shocks, and any Wall Street economist worth his or her salt has a rule of thumb-a model drawn per...

This study investigates gender disparities in inflation expectations India using data from the Reserve Bank of India’s Households’ Inflation Expectations Survey (March 2011 to September 2022). To determine these differences, authors analyze future prices for various categories including food products, nonfood household durables, housing, and general both a short-term horizon (the next three mon...