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Le prix des titres comme véhicule de l’information: une approche en équilibre général

Published online by Cambridge University Press:  17 August 2016

Hubert Stahn
Hubert Stahn*
Affiliation:
B.E.T.A. (Bureau d’économie théorique et appliquée), Université Louis Pasteur, Strasbourg I
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Résumé

Dans ce travail, j’introduis une asymétrie d’information dans un modèle d’équilibre général caractérisé par l’incertitude et l’existence d’un système incomplet de marchés financiers. Un concept d’équilibre à anticipations rationnelles est associé à ce modèle à 1 bien et S états de nature et l’on montre qu’il existe une classe générique d’économies pour lesquelles le prix d’équilibre sur les marchés financiers est parfaitement révélateur des asymétries d’information. De ce point de vue, ce modèle s’inscrit dans la continuité de la contribution de Radner [1968] tout en exploitant les développements récents de la théorie des marchés incomplets.

Summary

Summary

In this paper I introduce asymetric information in a general equilibrium model characterized by uncertainty and the existence of incomplete financial markets. This model of one good and S states of nature is associated with the concept of equilibrium with rational expectations; and we show that there exists a generic class of economies for which the equilibrium price in the financial markets is perfectly revealing of the information asymmetries. From that point of view, the model follows the ideas of Radner[1968] yet makes use of the recent developements in the theory of incomplete markets.

Keywords

G14D5G14D5
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 62 , Issue 1 , 1996 , pp. 73 - 94
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1996 

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Footnotes

*

Ce travail a bénéficié de l’appui financier du Ministère de l’Education Nationale dans le cadre de l’opération thématique «Recomposition du Champ Juridique». Je voudrais aussi remercier deux rapporteurs anonymes de leurs remarques. Je reste néanmoins seul responsable des erreurs et omissions.

References

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