TY - JOUR
T1 - Asset price variability in a rational expectations equilibrium
AU - Black, Jane M.
AU - Tonks, Ian
PY - 1992/10
Y1 - 1992/10
N2 - 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.
AB - 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.
UR - http://dx.doi.org/10.1016/0014-2921(92)90072-5
U2 - 10.1016/0014-2921(92)90072-5
DO - 10.1016/0014-2921(92)90072-5
M3 - Article
SN - 0014-2921
VL - 36
SP - 1367
EP - 1377
JO - European Economic Review
JF - European Economic Review
ER -