在喧闹的合理预期经济的信息族聚(pdf 15)

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.
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