The tradeoff between risk sharing and information production in financial markets
DOI10.1016/J.JET.2008.03.009zbMATH Open1202.91101OpenAlexW2164870359MaRDI QIDQ848610FDOQ848610
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
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- Information, risk sharing, and incentives in agency problems
learningasymmetric informationnon-expected utilityrisk sharingKreps-Porteus preferencesinformation choiceshareholder base expansion
Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)
Cites Work
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal von Neumann-Morgenstern and induced preferences
- On the aggregation of information in competitive markets
- Information acquisition and under-diversification
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- Information Acquisition in a Noisy Rational Expectations Economy
- Discounted linear exponential quadratic Gaussian control
- Robust Permanent Income and Pricing
- A Model of Growth Through Creative Destruction
- A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
- Slow boom, sudden crash
- Information Markets and the Comovement of Asset Prices
- Precautionary Savings and the Permanent Income Hypothesis
- Information accumulation in development
- Sorting in risk-aversion and asset price volatility
- The Demand for Information and the Distribution of Income
- Informational Cycles
Cited In (5)
- Shareholdings by financial institutions, information asymmetry and the intertemporal return-earnings relation in Japan
- Information Sharing and Information Acquisition in Credit Markets*
- Corporate financial hedging with proprietary information
- Market composition and price informativeness in a large market with endogenous order types
- Should we regulate financial information?
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