Asset Price Variability under Asymmetric Information

Jane Black and Ian Tonks

Economic Journal, 1990, vol. 100, issue 400, 67-77

Abstract: This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. The authors consider equilibrium in the asset market before the information is revealed to a subset of traders. They find that ex ante price variability is increased by a rise in the proportion of informed market participants. Copyright 1990 by Royal Economic Society.

Date: 1990
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