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Intermediate Financial Theory, 3rd Edition by John B. Donaldson, Jean-Pierre Danthine

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Chapter 18

Financial Equilibrium with Differential Information

Chapter 18 considers the mechanism of asset pricing in a context where investors have differential information and, in particular, how the financial markets can aggregate and reveal all the private information of the participants.

Keywords

Rational expectations hypothesis; rational expectations equilibrium; futures price; forward price; efficient markets hypothesis; fully revealing; sufficient statistic; informationally efficient

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