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Market Selection and Asymmetric Information

Author

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  • George J. Mailath
  • Alvaro Sandroni
Abstract
We consider a dynamic general equilibrium asset pricing model with heterogeneous agents and asymmetric information. We show how agents' different methods of gathering information affect their chances of survival in the market depending upon the nature of the information and the level of noise in the economy. Copyright 2003, Wiley-Blackwell.

Suggested Citation

  • George J. Mailath & Alvaro Sandroni, 2003. "Market Selection and Asymmetric Information," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(2), pages 343-368.
    • Handle: RePEc:oup:restud:v:70:y:2003:i:2:p:343-368
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    File URL: http://hdl.handle.net/10.1111/1467-937X.00247
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    Cited by:

    1. Dindo, Pietro & Massari, Filippo, 2020. "The wisdom of the crowd in dynamic economies," Theoretical Economics, Econometric Society, vol. 15(4), November.
    2. Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(1), pages 123-150, September.
    3. Dindo, Pietro, 2019. "Survival in speculative markets," Journal of Economic Theory, Elsevier, vol. 181(C), pages 1-43.
    4. Eugen Kovac, 2005. "Speculation and Survival in Financial Markets," CERGE-EI Working Papers wp276, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    5. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
    6. Jayant V. Ganguli & Scott Condie, 2009. "The dynamics of partially-revealing rational expectations equilibria," 2009 Meeting Papers 1122, Society for Economic Dynamics.
    7. Darong Dai, 2014. "The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-16, July.
    8. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does It Work?," Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
    9. Luo, Guo Ying, 2012. "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, vol. 147(1), pages 310-335.
    10. Kim Gannon & Hanzhe Zhang, 2020. "An Evolutionary Justification for Overconfidence," Economics Bulletin, AccessEcon, vol. 40(3), pages 2494-2504.
    11. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does It Work?," Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
    12. repec:esx:essedp:720 is not listed on IDEAS
    13. Filippo Massari, 2021. "Price probabilities: a class of Bayesian and non-Bayesian prediction rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(1), pages 133-166, July.
    14. Blume, Lawrence & Easley, David, 2009. "The market organism: Long-run survival in markets with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1023-1035, May.
    15. Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.

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