Asset pricing in an intertemporal partially-revealing rational expectations equilibrium

摘要

This paper seeks to understand the endogenous forces which govern the behavior of dividend-paying stock prices, interest rates and asset holdings in competitive financial markets with asymmetric information. We analyze the partially-revealing rational expectations equilibrium of an intertemporal economy in which a continuum of informed agents with private information about future dividends interacts with a continuum of uninformed agents. In equilibrium, the stock fails to reveal any private information: its price is fully determined by publicly observed dividends. In contrast private dividend-relevant information is partially revealed by the interest rate: the inability to fully distinguish private information from a private preference parameter of informed agents is the source of diversity in endogenous information sets. In the partially-revealing equilibrium, nonnegativity of consumption and wealth are satisfied at all times. We discuss the informational efficiency of the bond and stock markets and examine the sources of interest rate volatility. The results are extended to an economy with asymptotic persistence in the informational asymmetry.