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Securities Market Efficiency in an Arrow-Debreu Economy
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This article is published in The American Economic Review.The article was published on 1975-01-01 and is currently open access. It has received 135 citations till now. The article focuses on the topics: Arrow–Debreu model.read more
Citations
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Whom Or What Does the Representative Individual Represent
TL;DR: In this article, the authors argue that this reduction of the behavior of a group of heterogeneous agents, even if they are all themselves utility maximizers, is both unjustified and leads to conclusions which are usually misleading and often wrong.
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The present-value relation: tests based on implied variance bounds'
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Information aggregation in a noisy rational expectations economy
TL;DR: In this paper, a general equilibrium model of a competitive security market in which traders possess independent pieces of information about the return of a risky asset is presented. And a closed-form characterization of the rational expectations equilibrium is presented, and a counter-example to the existence of fully revealing equilibrium is developed.
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The Valuation of Uncertain Income Streams and the Pricing of Options
TL;DR: In this article, a simple formula for the valuation of uncertain income streams consistent with rational investor behavior and equilibrium in financial markets is developed for the pricing of an option as a function of its associated stock, even though investors can trade only at discrete points in time.
Posted Content
Anatomy of an Experimental Political Stock Market
TL;DR: This paper analyzed the Iowa Political Stock Market and found that the market worked extremely well, dominating opinion polls in forecasting the outcome of the 1988 presidential election, even though traders in the market exhibited substantial amounts of judgment biases.
References
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper