Learning Rational Expectations in an Asset Market
Will traders in a risky asset market learn Muthian expectations when they initially lack the necessary information? If some traders learn from their observations, will market dynamics depend only on "fundamentals," as implied by the Efficient Market Hypothesis? This paper shows that at any...
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| Veröffentlicht in: | Journal of economics (Vienna, Austria) Austria), 1995-01, Vol.61 (3), p.215-243 |
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| container_title | Journal of economics (Vienna, Austria) |
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| creator | Grinspun, Ricardo |
| description | Will traders in a risky asset market learn Muthian expectations when they initially lack the necessary information? If some traders learn from their observations, will market dynamics depend only on "fundamentals," as implied by the Efficient Market Hypothesis? This paper shows that at any finite point in time the answer to these questions is "no." The context is a constant absolute risk aversion model with two kinds of traders and asymmetric information. The market converges asymptotically to a rational expectations equilibrium where prices depend only on fundamentals and the market is efficient. |
| doi_str_mv | 10.1007/BF01258619 |
| format | Article |
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| ispartof | Journal of economics (Vienna, Austria), 1995-01, Vol.61 (3), p.215-243 |
| issn | 0931-8658 1617-7134 |
| language | eng |
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| source | SpringerNature Complete Journals; Periodicals Index Online; EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing |
| subjects | Analytical forecasting Asset markets Assets Dividends Economic expectations Economic models Economic theory Efficient markets Expectation Forecasting models Learning Market Market prices Rational expectations Rational expectations theory Risk aversion Studies Wealth |
| title | Learning Rational Expectations in an Asset Market |
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