合理預期經濟的信息族聚(pdf 15頁)(英文)

This paper analyzes a model of a competitive security market in which the
partial aggregation of diverse sources of information results from a rational
expectations equilibrium. The economy analyzed yields a unique, closed-form
equilibrium in which participants are able to obtain supplementary
information from market prices without rendering their own information
redundant. The analysis presented here is of interest for at least two reasons.
First, it provides a reasonable characterization of the economic concept of an
informationally efficient market. Secondly, it introduces a definition of
equilibrium which restricts prices to depend on traders’ information only
through their demand correspondences.

The idea that equilibrium prices in competitive security markets largely
reflect the information possessed by various traders is both widely accepted
and often analyzed by financial economists. Empirically, evidence presented
in Fama (1970) and elsewhere shows that predictions conditioned on market
prices are not dominated by predictions using many other sources of
information. Several theoretical papers have also addressed this issue.
Lintner (1969) analyzes an economy in which beliefs are exogenous. This
leads to a characterization of equilibrium prices as the weighted average of
these beliefs [see also Rubinstein (1975) and Verrecchia (1980)]. Green
*The authors are grateful to Philip Dybvig, Cur Huberman, Jon Ingersoll, Michael Jensen,
Richard Lcftwich, Tom Turnbull and the referee, Alan Kraus, for helpful comments on an earlier
draft.

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