On the impossibility of insider trade in rational expectations equilibria

Zimper, Alexander

dc.contributor.author	Zimper, Alexander
dc.date.accessioned	2015-11-16T08:45:37Z
dc.date.available	2015-11-16T08:45:37Z
dc.date.issued	2014-04
dc.description.abstract	Existing no trade results are based on the common prior assumption (CPA). This paper identifies a strictly weaker condition than the CPA under which speculative trade is impossible in a rational expectations equilibrium (REE). As our main finding, we demonstrate the impossibility of speculative asset trade in an REE when ever an insider is involved who knows the asset’s true value. To model insider trade as an equilibrium phenomenon an alternative equilibrium concept than the REE is thus required.	en_ZA
dc.description.librarian	hb2015	en_ZA
dc.description.uri	http://www.journals.elsevier.com/the-north-american-journal-of-economics-and-finance	en_ZA
dc.identifier.citation	Zimper, A 2014, 'On the impossibility of insider trade in rational expectations equilibria', North American Journal of Economics and Finance, vol. 28, pp. 109-118.	en_ZA
dc.identifier.issn	1062-9408 (print)
dc.identifier.issn	1879-0860 (online)
dc.identifier.other	10.1016/j.najef.2014.02.004
dc.identifier.uri	http://hdl.handle.net/2263/50486
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2014 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 28, pp. 109-118, 2014. doi : 10.1016/j.najef.2014.02.004.	en_ZA
dc.subject	Levin-Coburn report	en_ZA
dc.subject	Goldman Sach	en_ZA
dc.subject	Insider trade	en_ZA
dc.subject	Rational expectations	en_ZA
dc.subject	Common prior assumption (CPA)	en_ZA
dc.subject	Rational expectations equilibrium (REE)	en_ZA
dc.title	On the impossibility of insider trade in rational expectations equilibria	en_ZA
dc.type	Postprint Article	en_ZA