A large-market rational expectations equilibrium model

Arbeitspapier

This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations equilibria are precluded without resorting to noise traders. The model admits a reinterpretation in which behavioral traders coexist with rational traders, and it allows us to characterize the amount of induced mispricing.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 3485

Classification and Topics

• Classification: Wirtschaft ; Asymmetric and Private Information; Mechanism Design ; Expectations; Speculations ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: adverse selection ; information acquisition ; double auction ; multi-unit auctions ; rate of convergence ; behavioural traders ; complementarities ; Marktmechanismus ; Rationale Erwartung ; Gleichgewicht ; Auktionstheorie ; Adverse Selection ; Informationsbeschaffung ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Vives, Xavier
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/46277
• Last update: 10.03.2025, 11:42 AM CET