Information and Asset Pricing
FIN-608 / 3 credits
Teacher: Collin Dufresne Pierre
Language: English
Remark: If you would like to attend this course, please send an email to: edfi@epfl.ch to register
Frequency
Every year
Summary
We study the role of information in equilibrium asset pricing models. We cover simple one-period models of incomplete and asymmetric information using competitive rational expectation equilibria and Bayesian-Nash equilibria. We extend to dynamic models.
Content
1. Introduction
- Competitive Rational Expectation Equilibrium vs Strategic Bayesian Nash Equilibrium
2. Asymmetric Information / Private Information
- Informational efficiency - Grossman and Stiglitz (1980): information acquisition and fully revealing equilibrium
- No trade Theorem - Milgrom and Stokey (1982): information and absence of trade
- Sequential trading / microstructure - Kyle (1985): informed traders
- Dynamics: Back (1992)
3. Introduction to Banking:
- Diamond-Dybvig (1986): Bank Runs
- Goldstein-Pauzner (2005): Demand-Deposit and Bank runs.
Keywords
Information, Asset Pricing.
Assessment methods
Written exam.
In the programs
- Exam form: Written (session free)
- Subject examined: Information and Asset Pricing
- Lecture: 28 Hour(s)
- Type: mandatory