Profitable informed trading in a simple general equilibrium model of asset pricing
成果类型：
Article
署名作者：
Dow, J; Gorton, G
署名单位：
University of Pennsylvania
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1077
发表日期：
1995
页码：
327-369
关键词：
摘要：
We present a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any ''noise'' added to the model. We use an equilibrium concept similar to rational expectations equilibrium, but which explicitly allows for the possibility of adverse selection. We show that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot buy the market portfolio. In this model, profitable informed trading lowers the welfare of all agents when compared across steady states. (C) 1995 Academic Press, Inc.
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