Hostname: page-component-5c6d5d7d68-txr5j Total loading time: 0 Render date: 2024-08-15T13:42:05.127Z Has data issue: false hasContentIssue false
  • English
  • Français

Communication of Aggregate Preferences through Market Prices

Published online by Cambridge University Press:  06 April 2009

Alan Kraus  and
Gordon A. Sick
Get access Rights & Permissions [Opens in a new window]

Extract

In a dynamic economy with a sequence of markets over time, there are generally goods or securities that will be traded in the future at currently unknown prices. Individuals require some notion of what these future prices will be since knowledge of future investment opportunity sets is relevant when making current portfolio allocation decisions.

Type
I. Incentive Signaling Models and Rational Expectations
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 4 , November 1979 , pp. 695 - 703
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arrow, K. J. “Le role des valeurs boursieres pour la repartition la meilleure des risques.” Econometrie. Paris: Center National de la recherche scientifique (1953), pp. 41–48. English translation in Arrow (1964).Google Scholar
[2]Arrow, K. J. “The Role of Securities in the Optimal Allocation of Risk–Bearing.” Review of Economic Studies, Vol. 31 (1964), pp. 91–96. Reprinted in Arrow (1970), pp. 121–133.CrossRefGoogle Scholar
[3]Arrow, K. J.Essays in the Theory of Risk–Bearing. Chicago: Markham (1970).Google Scholar
[4]Brennan, M. J., and Kraus, A.. “Necessary Conditions for Aggregation in Securities Markets.” Journal of Financial and Quantitative Analysis, Vol. 8, No. 3, pp. 407–418.Google Scholar
[5]Cass, D., and Stiglitz, J.. “The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Theory of Mutual Funds.” Journal of Economic Theory, Vol. 2 (1970), pp. 122–160.CrossRefGoogle Scholar
[6]Green, J. “Information, Efficiency, and Equilibrium.” Discussion Paper 284, Harvard Institute of Economic Research (1973).Google Scholar
[7]Grossman, S. J. “On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information.” Journal of Finance, Vol. 31, No. 2 (1976), pp. 573–585.CrossRefGoogle Scholar
[8]Grossman, S. J. “The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities.” Review of Economic Studies, Vol. 44, No. 138, pp. 431–449.CrossRefGoogle Scholar
[9]Jordan, J., and Radner, R.. “Examples of Nonexistence of Rational Expectations Equilibrium.” Mimeo, draft for Workshop in Rational Expectations and Differential Information IMSSS, Stanford (07 1977).Google Scholar
[10]Kreps, D. M. “A Note on ‘Fulfilled Expectations’ Equilibria.” Journal of Economic Theory, Vol. 74 (1977), pp. 32–43.CrossRefGoogle Scholar
[11]Radner, R. “Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices.” Center for Research in Management Science, University of California, Berkeley, Working Paper IP–245 (1977). To appear in Econometrica.Google Scholar
[12]Rothschild, M., and Stiglitz, J.. “Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information.” Quarterly Journal of Economics, XC No. 4 (1976), pp. 629–664.CrossRefGoogle Scholar
[13]Rubinstein, M. “An Aggregation Theorem for Securities Markets.” Journal of Financial Economics, Vol. 1, pp 225–244.CrossRefGoogle Scholar