Private information and sunspots in sequential asset markets

• 成果类型: Article
• 署名作者: Benhabib, Jess; Wang, Pengfei
• 署名单位: New York University; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.12.003
• 发表日期: 2015
• 页码: 558-584
• 关键词: The Grossman-Stiglitz paradox; sunspots

摘要

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully revealing rational expectations equilibria, there exists a continuum of equilibrium prices consistent with rational expectations, where the asset prices are subject to sunspot shocks. Such sunspot shocks can generate persistent fluctuations in asset prices that look like a random walk in an efficient market (C) 2014 Elsevier Inc. All rights reserved.