Market Power in a Securities Market with Endogenous Information
构建了一个理性预期模型，研究一个垄断者（斯塔克尔伯格领导者）与竞争性交易者共存时的证券市场均衡，发现仅在信息独立时垄断显著影响均衡，且垄断者不会通过向需求函数添加白噪声来随机化策略。
A rational expectations model of a securities market is developed in which one agent, the monopolist, behaves like a Stackelberg leader and other agents behave competitively. Two information structures, one in which each agent has identical information and the other in which each agent has independent information are examined. Equilibrium is shown to exist and is characterized in both cases, but monopoly has a significant effect on the equilibrium only in the latter. The optimal strategy of the Stackelberg leader is also studied, and it is shown that he will not randomize his strategy by adding white noise to his demand function, even though this obfuscates the information content of the market price.