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 simple one-period models of incomplete and asymmetric information using competitive rational expectation equilibria and Bayesian-Nash equilibria. We extend to dynamic models.
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. Introduction to Banking:
- Diamond-Dybvig (1986): Bank Runs
- Goldstein-Pauzner (2005): Demand-Deposit and Bank runs.
Keywords
Information, Asset Pricing.
Assessment methods
Written exam.
In the programs
- Exam form: Written (session free)
- Subject examined: Information and Asset Pricing
- Courses: 28 Hour(s)
- Type: mandatory