Net trade and market efficiency in Grossman and Stiglitz (1980)

• 成果类型: Article
• 署名作者: Hui Ou-Yang; Wu, Weili
• 署名单位: Central University of Finance & Economics
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.10.006
• 发表日期: 2017
• 页码: 75-85
• 关键词: Net trade; Traders' beliefs; market efficiency; The Grossman-Stiglitz model

摘要

In this paper, we correct part (b) of Theorem 6 of Grossman and Stiglitz (GS, 1980). We demonstrate that when the private signal tends to be perfect, the market converges to strong-form efficiency, and thus informed and uninformed traders have almost homogeneous beliefs about the stock payoff, but there is still significant net trade, rather than no trade as erroneously shown by GS. We further show that when the stock price becomes more informative, and thus traders' beliefs about the stock payoff become closer, the net trade may increase. (C) 2016 Elsevier Inc. All rights reserved.