On fully revealing prices when markets are incomplete

• 成果类型: Article
• 署名作者: Madrigal, V; Smith, SD
• 署名单位: University System of Georgia; Georgia State University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• 发表日期: 1995
• 页码: 1152-1159
• 关键词: rational-expectations equilibrium; generic existence; asset returns; INFORMATION; preferences; valuation; streams; income

摘要

We investigate the structure of preferences and uncertainty that guarantees that prices are fully revealing even though asset markers are incomplete and there are more sources of uncertainty than assets in the economy. A sufficient condition for fully revealing prices is that investors have preferences of the (possibly state-dependent) linear-risk-tolerance class. Finally, we discuss how our result allows one to extend certain existing literature on demand aggregation, welfare analysis, and the pricing of contingent claims to the case in which markets are incomplete and investors have asymmetric private information.