Testing Financial Market Equilibrium under Asymmetric Information
设计了检验竞争均衡、完全揭示理性预期均衡和噪声理性预期均衡的方法，利用交易量数据支持噪声理性预期假说，表明私人信息有价值但价格仍包含信息。
The authors devise tests that distinguish between competitive (Walrasian), fully revealing rational expectations and noisy rational expectations equilibria based on their predictions concerning trading volume around public information signals. Empirical results strongly support the noisy rational expectations hypothesis. This indicates that a significant amount of noise exists (so that private information has value), but not enough to obfuscate entirely the information content of price. The authors' analysis also indicates that the dispersion of private information across traders has an impact on trading volume, but not on price. Copyright 1992 by University of Chicago Press.