Chancellor – Asset Pricing under Asymmetric Information
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Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other’s information by analyzing price processes.
In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes.
This book provides a detailed and up-to-date survey of this important body of literature.
The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information.
It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated.
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