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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 343-368 |
| Number of pages | 26 |
| Journal | Review of Economic Studies |
| Volume | 70 |
| Issue number | 2 |
| DOIs | |
| State | Published - Apr 2003 |
Funding
Acknowledgements. We thank many audiences for their helpful comments. We also thank Mark Armstrong and two anonymous referees for helpful comments. Mailath thankfully acknowledges financial support under NSF Grants SBR-9810693 and SES-0095768. Sandroni thankfully acknowledges financial support from the National Science Foundation Grants SBR-9730385 and SES-0l09650. The work described here has been presented previously under the title "Poor Information can be Valuable".
ASJC Scopus subject areas
- Economics and Econometrics