270
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Reconsidering the impossibility of informationally efficient markets

Pages 1113-1122 | Published online: 24 Sep 2007

References

  • Admati , AR . 1989 . “ Information in financial markets: the rational expectations approach ” . In Financial Markets and Incomplete Information , Edited by: Bhattacharya , S and Constantinides , GM . 139 – 52 . Maryland : Rowman and Littlefield .
  • Admati , AR . 1991 . The informational role of prices: a review essay . Journal of Monetary Economics , 28 : 347 – 61 .
  • Biais , B , Bossaerts , P and Spatt , C . 2002 . Equilibrium asset pricing under heterogeneous information. Working Paper , Toulouse University .
  • Easley , D and O’Hara , M . 2004 . Information and the cost of capital . Journal of Finance , 59 : 1553 – 83 .
  • Fama , EF . 1970 . Efficient capital markets: a review of theory and empirical work . Journal of Finance , 25 : 383 – 417 .
  • Grossman , SJ . 1976 . On the efficiency of competitive stock markets where trades have diverse information . Journal of Finance , 31 : 573 – 85 .
  • Grossman , SJ and Stiglitz , JE . 1980 . On the impossibility of informationally efficient markets . American Economic Review , 70 : 393 – 408 .
  • Habib , M and Naik , N . 1996 . Models of information aggregation in financial markets: a review . Applied Mathematical Finance , 3 : 159 – 66 .
  • Kodres , LE and Pritsker , M . 2002 . A rational expectations model of financial contagion . Journal of Finance , 57 : 769 – 99 .
  • Lintner , J . 1969 . The aggregation of investor's diverse judgements and preferences in purely competitive security markets . Journal of Financial and Quantitative Analysis , 4 : 347 – 400 .
  • Odean , T . 1998 . Volume, volatility, price and profit when all traders are above average . Journal of Finance , 53 : 1887 – 934 .
  • Toft , KB . 1996 . On the mean-variance tradeoff in option replication with transaction costs . Journal of Financial and Quantitative Analysis , 31 : 233 – 63 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.