The tradeoff between risk sharing and information production in financial markets

DOI10.1016/J.JET.2008.03.009MaRDI QIDQ848610zbMATHOpenAlexFDO

Authors Joel Peress

Publication date 4 March 2010

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2008.03.009

zbMATH Keywords

learningasymmetric informationnon-expected utilityrisk sharingKreps-Porteus preferencesinformation choiceshareholder base expansion

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)

Recommendations

• Viable allocations of information in financial markets
• The value of information in risk-sharing environments with unawareness
• Incomplete risk sharing arrangements and the value of information
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• Information linkages in a financial market with imperfect competition
• Risk aversion and information aggregation in binary‐asset markets
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• Information, risk sharing, and incentives in agency problems

Cites work

• A Model of Growth Through Creative Destruction
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Continuous Auctions and Insider Trading
• Discounted linear exponential quadratic Gaussian control
• Information Acquisition in a Noisy Rational Expectations Economy
• Information Markets and the Comovement of Asset Prices
• Information accumulation in development
• Information acquisition and under-diversification
• Informational Cycles
• On the aggregation of information in competitive markets
• Precautionary Savings and the Permanent Income Hypothesis
• Robust Permanent Income and Pricing
• Slow boom, sudden crash
• Sorting in risk-aversion and asset price volatility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Temporal von Neumann-Morgenstern and induced preferences
• The Demand for Information and the Distribution of Income

Cited in

(6)

• Corporate financial hedging with proprietary information
• Information Sharing and Information Acquisition in Credit Markets*
• Market composition and price informativeness in a large market with endogenous order types
• Should we regulate financial information?
• Information cost and securitization
• Shareholdings by financial institutions, information asymmetry and the intertemporal return-earnings relation in Japan

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