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- W2138212722 abstract "A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating functions, this paper shows that individual investors endowed with an average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the expected excess return of a risky asset so that investors who only have a choice of portfolio composition or whose asset endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria both with and without information acquisition are Pareto efficient." @default.
- W2138212722 created "2016-06-24" @default.
- W2138212722 creator A5041972044 @default.
- W2138212722 date "2004-01-01" @default.
- W2138212722 modified "2023-09-24" @default.
- W2138212722 title "The Existence of Informationally Efficient Markets When Individuals are Rational" @default.
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- W2138212722 doi "https://doi.org/10.2139/ssrn.612142" @default.
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