Market Created Risk
构建了一个多期理性预期模型，说明即使没有新信息到来，均衡价格也可能因投资者对其他投资者禀赋的不完全信息而波动，对理解市场波动和资产定价有参考价值。
ABSTRACT We develop a multiperiod rational expectations model of securities market equilibrium in which equilibrium prices may move between periods even though it is common knowledge that no new information has arrived about ultimate security payoffs. This happens because investors know they have imperfect information about the endowments of other investors and this knowledge affects their probability beliefs about the prices that will prevail at the intermediate trading date. These beliefs are reflected in the equilibrium at the initial trading date when investors focus on the probabilities of intermediate capital gains and losses, rather than ultimate payoffs.