On Information Dissemination and Equilibrium Asset Prices: A Note
证明，在信息逐步传播的市场中，最终均衡价格通常取决于信息传播顺序，而非如先前研究假设的独立于顺序。这揭示了财富再分配动态在信息传播过程中的重要性。
Previous analyses of market structures characterized by gradual information dissemination presume the equilibrium price existing after all market participants are informed is inde? pendent of the order of information dissemination. In these papers, final market elearing price, given the investors' posterior beliefs, is known a priori and is assumed to equal the price that would exist if data were disseminated simultaneously. We demonstrate that final equilibrium price is dependent, in general, on the order of information dissemination. This implies that, if the dissemination sequence is stochastic, price is unknown prior to the complete dissemination of information, even if the investors' posterior beliefs given the information event are known. We derive a necessary and sufficient condition for equilib? rium price to be independent of the dissemination sequence in our economy. Our analysis highlights the importance of the wealth redistribution dynamics inherent in the informa? tion dissemination process.