Information aggregation in a financial market with general signal structure

• 成果类型: Article
• 署名作者: Lou, Youcheng; Parsa, Sahar; Ray, Debraj; Li, Duan; Wang, Shouyang
• 署名单位: Chinese Academy of Sciences; Tufts University; New York University; University of Warwick; City University of Hong Kong; Chinese Academy of Sciences; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.05.004
• 发表日期: 2019
• 页码: 594-624
• 关键词: Multidimensional signals; asymmetric information; information aggregation; rational expectations equilibrium

摘要

We study a financial market with asymmetric, multidimensional trader signals that have general correlation structure. Each of a continuum of traders belongs to one of finitely many information groups. There is a multidimensional aggregate signal for each group. Each trader observes an idiosyncratic signal about the fundamental, built from this group signal. Correlations across group signals are arbitrary. Several existing models serve as special cases, and new applications become possible. We establish existence and regularity of linear equilibrium, and demonstrate that the equilibrium price aggregates information perfectly as noise trade vanishes. (C) 2019 Elsevier Inc. All rights reserved.