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-在喧闹的合理预期经济的信息族聚.pdf

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-在喧闹的合理预期经济的信息族聚

Journal of Financial Economics 9 (1981) 221-235. North-Holland Publishing Company INFORMATION AGGREGATION IN A NOISY RATIONAL EXPECTATIONS ECONOMY Chicago, Chicago, IL 60637, USA Received July 1980, final version received December 1980 This paper analyzes a general equilibrium model of a competitive security market in whtch traders possess independent pieces of information about the return of a risky asset. Each trader conditions his estimate of the return both on his own private source of information and price, which in equilibrium serves as a ‘noisy’ aggregator of the total information observed by all traders. A closed-form characterizatton of the rational expectations equilibrium is presented. A counter-example to the existence of ‘fully revealing’ equilibrium is developed. 1. Introduction This paper analyzes a model of a competitive security market in which the partial aggregation of diverse sources of information results from a rational expectations equilibrium. The economy analyzed yields a unique, closed-form equilibrium in which participants are able to obtain supplementary information from market prices without rendering their own information redundant. The analysis presented here is of interest for at least two reasons. First, it provides a reasonable characterization of the economic concept of an informationally effic