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Journal Article
Market Selection and Asymmetric Information
Review of Economic Studies
Author(s)
We consider a dynamic general equilibrium asset pricing model with heterogeneous agents and asymmetric information. We show how agents' different methods of gathering information affect their chances of survival in the market depending upon the nature of the information and the level of noise in the economy.
Date Published:
2003
Citations:
Mailath, George. 2003. Market Selection and Asymmetric Information. Review of Economic Studies. (2)343-368.