The possibility of informationally efficient markets

• 成果类型: Article
• 署名作者: Muendler, Marc-Andreas
• 署名单位: University of California System; University of California San Diego; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.10.006
• 发表日期: 2007
• 页码: 467-483
• 关键词: information acquisition; rational expectations equilibrium; asset pricing; fully revealing price

摘要

A rational expectations equilibrium with positive demand for financial information does exist under fully revealing asset price-contrary to a wide-held conjecture. Whereas a continuum of investors is inconsistent with fully revealing equilibrium, finitely many investors with average portfolios demand information in equilibrium if they can adjust portfolio size in an additive signal-return model. More information diminishes the expected excess return of a risky asset so that investors who only have a choice of portfolio composition or whose asset endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria both with and without information acquisition are Pareto efficient. (c) 2006 Elsevier Inc. All rights reserved.