Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding
本书系统综述了不对称信息下资产定价的文献，涵盖理性预期均衡、泡沫、崩盘、技术分析及羊群行为，适合金融经济学研究者快速把握该领域核心理论。
The past two decades have seen the development of a voluminous literature on asset pricing with assymmetric information. It is now one of the core areas of financial economics, and the economics of information. Yet, with the exception of market microstructure, there has been no book‐length treatment of this subject. By filling this gap, Markus Brunnermeier has performed a useful service to the academic community of economists. Let me begin by summarising the contents of the book. The first chapter discusses the modelling of information in economic theory, including a treatment of higher order uncertainty and common knowledge. It introduces the two main notions of equilibrium with asymmetric information–rational expectations equilibrium in a competitive market framework, and Bayesian Nash equilibrium in a game‐theoretic setting. It concludes with a discussion of welfare notions appropriate for an asymmetric information economy. Chapter 2 introduces ‘agreeing to disagree’ type results and no‐trade theorems, which provide a theoretical benchmark for any discussion of trading among rational, asymmetrically informed traders. This is followed by an analysis of the connection between market incompleteness and information aggregation via prices. The chapter also reviews the work on the possibility of rational bubbles in asset prices, with and without asymmetric information.