ON THE POSSIBILITY OF INFORMATIONALLY EFFICIENT MARKETS
研究了格罗斯曼-斯蒂格利茨悖论中信息有效市场的条件，发现当交易者估值相关性不太大时，非对称信息市场可达到私人揭示均衡且保留信息获取激励，模型解释了危机期间央行流动性拍卖中投标行为的变化。
This paper presents conditions for a resolution of the Grossman–Stiglitz paradox of informationally efficient markets. We display a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved as long as the correlation in traders’ valuations is not too large. The equilibrium is efficient, and the problems associated with fully revealing rational expectations equilibria are precluded without resorting necessarily to noise traders. The robustness of the results to general information structures is established and the effect of market power is examined in a large market approximation to the competitive economy. The model is applied to explain changes in bidding behavior in central bank liquidity auctions in the crisis period.