Competitive Markets and Aggregate Information

Glenn Baigent ()
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Glenn Baigent: Department of Finance, Long Island University

Eastern Economic Journal, 2003, vol. 29, issue 4, 593-606

Abstract: This paper shows that a competitive market structure is identically efficient to a Walrasian rational expectations market when risk-averse agents base trades only on unbiased private signals. Because price reflects the complete set of market information, it is a sufficient statistic. The economic role of competing market makers is thus to aggregate information efficiently.

Keywords: Market; Structure (search for similar items in EconPapers)
JEL-codes: D41 G12 G14 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eej:eeconj:v:29:y:2003:i:4:p:593-606

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