Market selection and asymmetric information

George J. Mailath*, Alvaro Sandroni

*Corresponding author for this work

Research output: Contribution to journalArticle

13 Scopus citations

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 languageEnglish (US)
Pages (from-to)343-368
Number of pages26
JournalReview of Economic Studies
Volume70
Issue number2
DOIs
StatePublished - Apr 1 2003

ASJC Scopus subject areas

  • Economics and Econometrics

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