Competitive Screening Under Heterogeneous Information
نویسندگان
چکیده
منابع مشابه
Asset Pricing Under Heterogeneous Information
In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called “infinite regress” problem, which makes the analysis of asset pricing under heterogenous information challenging. In this paper, we solve...
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since the rate of return on different opportunities for investment is random, the optimal distribution of ones capital is put foreward as a stochastic control problem. in this paper, using modem techniques in the theory of random functions and the stochsatic calculus, the problem is discussed for the case when the information possessed by the different investors, as well as their probability be...
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We analyze theoretically and empirically the implications of heterogeneous information for equilibrium asset pricing and portfolio choice. Our theoretical framework, directly inspired by Admati (1985), implies that with partial information aggregation, portfolio separation fails, buy-and-hold strategies are not optimal, and investors should structure their portfolios using the information conta...
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A sudden change in investment environment shifts objective uncertainty (characterized by parameters that determine the distribution of returns) and at the same time heightens subjective uncertainty (about the data generating parameters) unevenly across investors. For a given state of economy, the uncertainty facing the investor is the sum of the uncertainty in the data and the uncertainty of th...
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2018
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdy072