Asset Markets With Heterogeneous Information
研究了资产异质且交易者拥有不同信息时的竞争均衡，市场内生化决定，可用于分析甩卖、传染和避险现象。
This paper studies competitive equilibria of economies where assets are heterogeneous and traders have heterogeneous information about them. Markets are defined by a price and a procedure for clearing trades, and any asset can, in principle, be traded in any market. Buyers can use their information to impose acceptance rules which specify which assets they are willing to trade in each market. The set of markets where trade takes place is derived endogenously. The model can be applied to find conditions under which these economies feature fire sales, contagion, and flights to quality.