1 option
Decentralized Trading with Private Information / Mikhail Golosov, Guido Lorenzoni, Aleh Tsyvinski.
- Format:
- Book
- Author/Creator:
- Golosov, Mikhail.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15513.
- NBER working paper series no. w15513
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- The paper studies asset pricing in informationally decentralized markets. These markets have two key frictions: trading is decentralized (bilateral), and some agents have private information. We analyze how uninformed agents acquire information over time from their bilateral trades. In particular, we show that uninformed agents can learn all the useful information in the long run and that the long-run allocation is Pareto efficient. We then explore how informed agents can exploit their informational advantage in the short run and provide sufficient conditions for the value of information to be positive. Finally, we provide a numerical analysis of the equilibrium trading dynamics and prices.
- Notes:
- Print version record
- November 2009.
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