Show simple item record Walker, Todd B. 2006-09-29T16:10:36Z 2006-09-29T16:10:36Z 2006-09-29T16:10:36Z
dc.identifier.uri en
dc.identifier.uri en
dc.description.abstract Accommodating asymmetric information in a dynamic asset pricing model is technically challenging due to the problems associated with higher-order expectations. That is, rational investors are forced into a situation where they must forecast the forecasts of other agents. In a dynamic setting, this problem telescopes into the infinite future and the dimension of the relevant state space approaches infinity. By using the frequency domain approach of Whiteman (1983) and Kasa (2000), this paper demonstrates how information structures previously believed to preserve asymmetric information in equilibrium, converge to a symmetric information, rational expectations equilibrium. The revealing aspect of the price process lies in the invertibility of the observed state space, which makes it possible for agents to infer the economically fundamental shocks and thus eliminating the need to forecast the forecasts of others. en
dc.format.extent 351497 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US en
dc.relation.ispartofseries 2006 en
dc.relation.ispartofseries 011 en
dc.relation.isversionof This paper is also available in SSRN and on CAEPR's website ( en
dc.subject CAEPR en
dc.subject Center for Applied Economics and Policy Research en
dc.subject Asset Pricing en
dc.subject Asymmetric Information en
dc.title How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders en
dc.type Working Paper en

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