Information revelation and market incompleteness
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- dc.contributor.author Marín, José M.ca
- dc.contributor.author Rahi, Rohitca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:41Z
- dc.date.available 2017-07-26T10:50:41Z
- dc.date.issued 1996-02-01
- dc.date.modified 2017-07-23T02:02:13Z
- dc.description.abstract \documentstyle[portada,11pt]{article} This paper shows that the presence of private information in an economy can be a source of market incompleteness even when it is feasible to issue a set of securities that completely eliminates the informational asymmetries in equilibrium. We analyze a simple security design model in which a volume maximizing futures exchange chooses not only the characteristics of each individual contract but also the number of contracts. Agents have rational expectations and differ in information, endowments and, possibly, attitudes toward risk. The emergence of complete or incomplete markets in equilibrium depends on whether the {\it adverse selection effect} is stronger or weaker than the {\it Hirshleifer effect}, as new securities are issued and prices reveal more information. When the Hirshleifer effect dominates, the exchange chooses an incomplete set of financial contracts, and the equilibrium price is partially revealing.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=145
- dc.identifier.citation Review of Economic Studies, vol. 67, no. 3, 635-651, 2000
- dc.identifier.uri http://hdl.handle.net/10230/20730
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 145
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword incomplete markets
- dc.subject.keyword welfare
- dc.subject.keyword futures contracts
- dc.subject.keyword information revelation
- dc.subject.keyword Finance and Accounting
- dc.title Information revelation and market incompletenessca
- dc.type info:eu-repo/semantics/workingPaper