Asset price variability in a rational expectations equilibrium

Jane M. Black, Ian Tonks

Research output: Contribution to journalArticle

Abstract

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.
Original languageEnglish
Pages (from-to)1367-1377
JournalEuropean Economic Review
Volume36
DOIs
Publication statusPublished - Oct 1992

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