Information and Asset Pricing

FIN-608 / 3 credits

Teacher: Collin-Dufresne Pierre

Language: English

Remark: To register, please contact edfi@epfl.ch. The timetable and location is available on the Google doc below under "Websites" (1 tab per term).

Frequency

Every year

Summary

We study the role of information in equilibrium asset pricing models. We cover seminal one-period and dynamic models of incomplete and asymmetric information using competitive rational expectation and Bayesian-Nash equilibria. We also cover recent empirical working papers on the topic.

Content

1. Introduction
- Competitive Rational Expectation Equilibrium vs Strategic Bayesian Nash Equilibrium

 

2. Asymmetric Information / Private Information
- Informational efficiency - Grossman and Stiglitz (1980): information acquisition and fully revealing equilibrium
- No trade Theorem - Milgrom and Stokey (1982): information and absence of trade
- Sequential trading / microstructure - Kyle (1985): informed traders

- Dynamics: Back (1992)

3. Differences of opinion

- Miller (1977)

- Harison-Kreps (1978)

 

 

Keywords

Information, Asset Pricing.

Assessment methods

Written exam.

Resources

Websites

In the programs

  • Exam form: Written (session free)
  • Subject examined: Information and Asset Pricing
  • Courses: 28 Hour(s)
  • Type: mandatory

Reference week

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