ASSET PRICE VARIABILITY IN A RATIONAL-EXPECTATIONS EQUILIBRIUM

被引：6

作者：

BLACK, JM

TONKS, I

机构：

[1] UNIV LONDON LONDON SCH ECON & POLIT SCI,DEPT ACCOUNTING & FINANCE,LONDON WC2A 2AE,ENGLAND

[2] UNIV EXETER,EXETER EX4 4RJ,DEVON,ENGLAND

来源：

EUROPEAN ECONOMIC REVIEW | 1992年 / 36卷 / 07期

关键词：

D O I：

10.1016/0014-2921(92)90072-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows that in a rational expectations equilibrium with different types of agents who are informed and uniformed about a piece of information, price variability may increase as the proportion of agents who are informed increases. This is a surprising result and the paper establishes the conditions under which price variability will increase as the percentage of informed agents increases.

引用

页码：1367 / 1377

页数：11

共 6 条

[1]

DELONG JB, 1990, J POLITICAL EC, V98, P701

[2]

GROSSMAN SJ, 1980, AM ECON REV, V70, P393

[3]

GROSSMAN SJ, 1976, J FINANC, V31, P81

[4] PRICE DESTABILIZING SPECULATION [J].