Information aggregation in competitive markets

We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information---the betweenness property---that is both necessary and sufficient for information aggregation. The characterization provides novel predictions about equilibrium prices in complex, multidimensional environments.

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Year of publication:	2021
Authors:	Siga, Lucas ; Mihm, Maximilian
Published in:	Theoretical Economics. - New Haven, CT : The Econometric Society, ISSN 1555-7561. - Vol. 16.2021, 1, p. 161-196
Publisher:	New Haven, CT : The Econometric Society
Subject:	Auctions \| betweenness \| competitive markets \| information aggregation \| rational expectations equilibrium

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3982/TE3559 [DOI] 1744862435 [GVK] hdl:10419/253471 [Handle] RePEc:the:publsh:3559 [RePEc]
Classification:	C72 - Noncooperative Games ; D44 - Auctions ; D82 - Asymmetric and Private Information ; D83 - Search, Learning, Information and Knowledge ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10013189021