Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims

• 成果类型: Article
• 署名作者: Chabakauri, Georgy; Yuan, Kathy; Zachariadis, Konstantinos E.
• 署名单位: University of London; London School Economics & Political Science; University of London; Queen Mary University London
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab081
• 发表日期: 2022
• 页码: 2445-2490
• 关键词: information acquisition; asymmetric information; asset prices; liquidity; STOCK; aggregation; uncertainty; EFFICIENCY; contagion; returns

摘要

We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The assets can include state contingent claims such as Arrow-Debreu securities, assets with only positive payoffs, options or other derivative securities. The probabilities of states depend on an aggregate shock, which is observed only by the informed investor. We derive a three-factor CAPM with asymmetric information, establish conditions under which asset prices reveal information about the shock, and show that information asymmetry amplifies the effects of payoff skewness on asset returns. We also find that volatility derivatives make incomplete markets effectively complete, and their prices quantify market illiquidity and shadow value of information to uninformed investors.