Information, trade and incomplete markets

被引：6

作者：

Blume, Lawrence

Coury, Tarek

Easley, David ^{[1
]}

机构：

[1] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA

[2] Univ Oxford, Dept Econ, Oxford OXC1 3UQ, England

来源：

ECONOMIC THEORY | 2006年 / 29卷 / 02期

关键词：

trade; incomplete markets; risk sharing;

D O I：

10.1007/s00199-005-0055-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The no-trade result of Milgrom and Stokey, J Econ Theory 26:17-27 (1982), states that if rational traders begin with an ex-ante Pareto optimal allocation then the arrival of information cannot generate trade. This paper allows traders to trade before and after the arrival of information. If there are enough securities to hedge against all payoff relevant risk, then the preinformation-arrival allocation is Pareto optimal and information arrival has no effect. This no-retrade result is the competitive analog of the no-trade result of (1982). However, information generically generates trade when markets are state-contingent incomplete.

引用

页码：379 / 394

页数：16

共 10 条

[1] IMPLEMENTATION OF WALRASIAN EXPECTATIONS EQUILIBRIA [J].