http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Rational expectations equilibrium in a market with restricted access to differential information
This dissertation analyzes a rational expectations equilibrium model of a financial market with two sources of noisy information. Access to the first information source is institutionally limited to a fixed proportion of traders, insiders, while information on the second source is available to all traders, including the insiders, at the same cost. An interior equilibrium exists where a fraction of inside traders acquire outside information and some outside traders remain uninformed. Small parameter changes can shift the equilibrium from an interior to a corner, leading to discontinuity in the equilibrium information allocation and other endogenous variables. The highly nonlinear nature of the rational expectations equilibrium price and informational conditions makes comparative statistics analytically impossible. Among the main results of an extensive numerical analysis, the equilibrium information allocation responds asymmetrically to increases and decreases in the uncertainty of the risky asset return and in the uncertainty of the risky supply.