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- Title
Asset market equilibrium with short-selling and differential information.
- Authors
Daher, Wassim; Martins-da-Rocha, V.; Vailakis, Yiannis
- Abstract
We introduce differential information in the asset market model studied by Cheng J Math Econ 20(1):137–152,1991, Dana and Le Van J Math Econ 25(3):263–280,1996 and Le Van and Truong Xuan J Math Econ 36(3): 241–254, 2001. We prove an equilibrium existence result assuming that the economy’s information structure satisfies the conditional independence 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
ECONOMIC equilibrium; ASSETS (Accounting); ECONOMICS; CONTRACTS &; economics; ACCESS to information; DATA security
- Publication
Economic Theory, 2007, Vol 32, Issue 3, p425
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/s00199-006-0131-5