THE SPEED OF INFORMATION REVELATION IN A FINANCIAL MARKET MECHANISM
成果类型：
Article
署名作者：
VIVES, X
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1070
发表日期：
1995
页码：
178-204
关键词：
摘要：
The paper studies the rate at which dispersed private information about the value a of a risky financial asset is incorporated into prices in an information adjustment mechanism. The mechanism, in the presence of competitive market makers, aggregates the information of risk averse agents at a rate of n(-1/2), where n is the number of rounds of the adjustment process. Without market makers, convergence of prices to v is much slower. In any case the asymptotic precision of prices is negatively related to the degree of risk aversion and the amount of noise in the system. (C) 1995 Academic Press. Inc.