Private information and sunspots in sequential asset markets

DOI10.1016/J.JET.2014.12.003zbMATH Open1330.91123OpenAlexW2165608586MaRDI QIDQ896965FDOQ896965

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

Recommendations

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

zbMATH Keywords

sunspotsGrossman-Stiglitz paradox

Mathematics Subject Classification ID

Economics of information (91B44)

Cites Work

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

Cited In (2)

• Public disclosure and private information acquisition: a global game approach
• Information, coordination, and market frictions: an introduction

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