Further results on the informational efficiency of competitive stock markets

DOI10.1016/0022-0531(78)90043-1zbMath0402.90009OpenAlexW2024682371WikidataQ29543315 ScholiaQ29543315MaRDI QIDQ1255870

Sanford J. Grossman

Publication date: 1978

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(78)90043-1

zbMATH Keywords

Capital Asset Pricing ModelInformational EfficiencyCompetitive Stock MarketsConstant Absolute Risk Aversion Utility FunctionsRisky Assets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (21)

Elections with limited information: A fulfilled expectations model using contemporaneous poll and endorsement data as information sources ⋮ Partially revealing rational expectations equilibria with nominal assets ⋮ Models of information aggregation in financial markets: a review ⋮ The revelation of information in strategic market games. A critique of rational expectations equilibrium ⋮ Information acquisition and welfare effect in a model of competitive financial markets ⋮ On aggregation of information in competitive markets: The dynamic case ⋮ On the aggregation of information in competitive markets ⋮ Rational panics and stock market crashes. ⋮ Informational efficiency with ambiguous information ⋮ Approximate equilibria in microeconomic rational expectations models ⋮ Viable allocations of information in financial markets ⋮ Partially-revealing rational expectations equilibrium in a competitive economy ⋮ Learning from prices: information aggregation and accumulation in an asset market ⋮ Aggregation, determinacy, and informational efficiency for a class of economies with asymmetric information ⋮ Common knowledge: The case of linear regression ⋮ Information aggregation in a financial market with general signal structure ⋮ On the revelation of private information in stock market economies ⋮ Existence of an equilibrium for lower semicontinuous information acquisition functions ⋮ Rational expectations equilibria and the ex-post core of an economy with asymmetric information. ⋮ Information acquisition in the era of fair disclosure: an application of asymmetric awareness ⋮ Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.

Cites Work

• A note on 'fulfilled expectations' equilibria
• Information, futures prices, and stabilizing speculation
• On the Predictability of Economic Events
• Equivalent Comparisons of Experiments
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