COMPLEMENTARITIES, MULTIPLICITY, AND SUPPLY INFORMATION

• 成果类型: Article; Proceedings Paper
• 署名作者: Ganguli, Jayant Vivek; Yang, Liyan
• 署名单位: University of Cambridge; Cornell University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/JEEA.2009.7.1.90
• 发表日期: 2009
• 页码: 90-115
• 关键词: rational-expectations equilibrium; efficient markets; price movements; trading volume; large numbers; asset prices; MODEL; aggregation; STABILITY; welfare

摘要

If traders can obtain private information about the payoff and the supply of a stock then there can exist (i) complementarity in information acquisition and (ii) multiple equilibria in the financial and information markets. The additional dimension of supply information increases coordination possibilities in the financial market, leading to multiple equilibria. The existence of two information sources can lead to information acquisition being complementary. The multiplicity of equilibria is suggestive of excess volatility and crashes. The different financial market equilibria imply differing patterns of cost of capital and volume of trade. (JEL: D82, D83, G14)