^/?p.^:1^ Working Paper Alfred P. Sloan School of Management Information Structure and Equilibril'm Asset Prices' Information Structure and Equilibrium Asset Prices I Would like to Thank Information Structure and Asset Prices
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چکیده
Huang, Chi-fu — Information Structure and Equilibrium Asset Prices In a continuous trading economy, it is shown that if information is revealed continuously and if agents' preferences are continuous in a certain topology, then equilibrium asset price processes must have continuous sample paths. Except for uninteresting cases, the sample paths of price processes will be of unbounded variation. In particular, if the information is generated by a Brownian motion, then equilibrium asset price processes are Ito integrals. When information is not revealed continuously, the times (which may be random) at which prices can have jumps are identified. J. Econ. Theory , (English). Massachusetts Institute of Technology, Cambridge, Massachusetts, USA. Journal of Economic Literature Classification Numbers: 021, 521
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تاریخ انتشار 2008