Rationally mispriced assets in equilibrium

Eckwert B, Szczutkowski A (2006)
SPANISH ECONOMIC REVIEW 8(4): 285-299.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
We present a simple model of trading in a financial market where agents are asymmetrically informed and information is transmitted through the price system. We characterize the equilibrium for this economy and show that 'rational mispricing' of assets occurs if the price system fails to reveal the insider information accurately. It is argued that the communication of wrong information through equilibrium prices is compatible with full rationality on the part of the investors and may explain deviations from the efficient markets hypothesis.
Stichworte
asymmetric information; rational expectations; mispricing; efficiency
Erscheinungsjahr
2006
Zeitschriftentitel
SPANISH ECONOMIC REVIEW
Band
8
Ausgabe
4
Seite(n)
285-299
ISSN
1435-5469
eISSN
1435-5477
Page URI
https://pub.uni-bielefeld.de/record/1596398

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Eckwert B, Szczutkowski A. Rationally mispriced assets in equilibrium. SPANISH ECONOMIC REVIEW. 2006;8(4):285-299.
Eckwert, B., & Szczutkowski, A. (2006). Rationally mispriced assets in equilibrium. SPANISH ECONOMIC REVIEW, 8(4), 285-299. doi:10.1007/s10108-006-9000-4
Eckwert, B., and Szczutkowski, A. (2006). Rationally mispriced assets in equilibrium. SPANISH ECONOMIC REVIEW 8, 285-299.
Eckwert, B., & Szczutkowski, A., 2006. Rationally mispriced assets in equilibrium. SPANISH ECONOMIC REVIEW, 8(4), p 285-299.
B. Eckwert and A. Szczutkowski, “Rationally mispriced assets in equilibrium”, SPANISH ECONOMIC REVIEW, vol. 8, 2006, pp. 285-299.
Eckwert, B., Szczutkowski, A.: Rationally mispriced assets in equilibrium. SPANISH ECONOMIC REVIEW. 8, 285-299 (2006).
Eckwert, Bernhard, and Szczutkowski, Andreas. “Rationally mispriced assets in equilibrium”. SPANISH ECONOMIC REVIEW 8.4 (2006): 285-299.