Private information and sunspots in sequential asset markets

DOI10.1016/J.JET.2014.12.003MaRDI QIDQ896965zbMATH OpenOpenAlexFDO

Authors Jess Benhabib, Pengfei Wang

Publication date 15 December 2015

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

Full work available at URL https://doi.org/10.1016/j.jet.2014.12.003

zbMATH Keywords

sunspotsGrossman-Stiglitz paradox

Mathematics Subject Classification ID

Economics of information (91B44)

Recommendations

• Speculation and price fluctuations with private, extrinsic signals
• Indeterminacy of rational expectations equilibria in sequential financial markets.
• Information structure and equilibrium asset prices
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Endogenous participation risk in speculative markets

Cites work

• A battle of informed traders and the market game foundations for rational expectations equilibrium
• Churning Bubbles
• Correlated Equilibrium as an Expression of Bayesian Rationality
• Correlated equilibria and sunspots
• Decentralized trading with private information
• Information Markets and the Comovement of Asset Prices
• Market Uncertainty: Correlated and Sunspot Equilibria in Imperfectly Competitive Economies
• On the Possibility of Speculation under Rational Expectations
• Sentiments
• Sentiments and aggregate demand fluctuations
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

Cited in

(3)

• Endogenous participation risk in speculative markets
• Public disclosure and private information acquisition: a global game approach
• Information, coordination, and market frictions: an introduction

This page was built for publication: Private information and sunspots in sequential asset markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896965)