Information and Asset Pricing
FIN-608 / 3 crédits
Enseignant: Collin Dufresne Pierre
Langue: Anglais
Remark: If you would like to attend this course, please send an email to: edfi@epfl.ch to register
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 the analysis to dynamic models with heterogeneous beliefs.
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
3. Learning and Heterogenous Beliefs:
- Dynamic learning / Bayesian filtering: Cecchetti, Lam and Mark (2000): Equilibrium in representative agent models
- Heterogenous beliefs and equilibrium: Detemple and Murthy (1994)
- Irrationality / learning (Survival and price impact) - Blume and Easley (2006), Kogan et al. (2006)
Keywords
Information, Asset Pricing.
Assessment methods
Written exam.
Dans les plans d'études
- Forme de l'examen: Ecrit (session libre)
- Matière examinée: Information and Asset Pricing
- Cours: 28 Heure(s)
- Type: obligatoire