Asset market equilibrium with short-selling and differential information

Daher, W., Martins-da-Rocha, V.F. and Vailakis, Y. (2007) Asset market equilibrium with short-selling and differential information. Economic Theory, 32(3), pp. 425-446. (doi:10.1007/s00199-006-0131-5)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Vailakis, Professor Yiannis
Authors: Daher, W., Martins-da-Rocha, V.F., and Vailakis, Y.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economic Theory
Publisher:Springer
ISSN:0938-2259
ISSN (Online):1432-0479

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