Asset market equilibrium with short-selling and differential information

Daher, Wassim; Martins-da-Rocha, Victor-Filipe; Vailakis, Yiannis

Daher, Wassim; Martins-da-Rocha, Victor-Filipe; Vailakis, Yiannis (2007), Asset market equilibrium with short-selling and differential information, Economic Theory, 32, 3, p. 425-446. http://dx.doi.org/10.1007/s00199-006-0131-5

Type

Article accepté pour publication ou publié

External document link

http://halshs.archives-ouvertes.fr/halshs-00173787/fr/

Date

2007

Journal name

Economic Theory

Volume

Number

Publisher

Springer

Pages

425-446

Abstract (FR)

Nous généralisons le modèle de marché d'actifs étudié par Cheng (1991), Dana et Le Van (1996) et Le Van et Truong Xuan (2001) en introduisant l'asymétrie d'information. En imposant une hypothèse d'indépendance conditionnelle sur la structure d'information, nous démontrons qu'un équilibre existe.

Abstract (EN)

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996) and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property. If private information is not publicly verifiable, agents have incentives to misreport their types and therefore contracts may not be executed in the second period. We also show that under the conditional independence property equilibrium contracts are always executable.

Subjects / Keywords

Competitive Equilibrium; Differential Information; Asset Market; Equilibre concurrentiel; Information asymétrique; Marché d'actifs

JEL

C61 - Optimization Techniques; Programming Models; Dynamic Analysis
C62 - Existence and Stability Conditions of Equilibrium
D51 - Exchange and Production Economies