Asset price variability in a rational expectations equilibrium

Jane M. Black; Ian Tonks

doi:10.1016/0014-2921(92)90072-5

Asset price variability in a rational expectations equilibrium

Jane M. Black
, Ian Tonks

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	1367-1377
Journal	European Economic Review
Volume	36
DOIs	https://doi.org/10.1016/0014-2921(92)90072-5
Publication status	Published - Oct 1992

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10.1016/0014-2921(92)90072-5

http://dx.doi.org/10.1016/0014-2921(92)90072-5

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title = "Asset price variability in a rational expectations equilibrium",

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Asset price variability in a rational expectations equilibrium

Abstract

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