Essays on dynamic asymmetric information equilibria
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This thesis studies the anticipative information dissemination under different market and information structures. The first model studies a multiasset continuous time economy with heterogeneous information and a derivative market. The derivative has a general payoff written on an underlying stock paying a future dividend distributed as a weighted sum of noncentral chi-squares. The economy is populated by informed and uninformed investors as well as investors trading on noise. The noisy rational expectations equilibrium is derived in explicit form. The equilibrium stock price is positive at all times and has a stochastic volatility which is affine in the fundamentals and the endogenous information signals. The derivative cannot be replicated, except at rare endogenous stopping times when the market becomes incomplete. Properties of equilibrium, such as informational efficiency and its relation to dynamic completeness, volatility structure and asset holdings behavior are examined. The behavior of asset holdings in periods surrounding times of market incompleteness is studied. The model predicts an increase in trading activity, stock holdings and derivatives open interest on expiration dates. The second model studies a market with multiple periods and multiple private information signals. There are two groups of informed investors: informed and super-informed. The difference between them is that the super-informed receives additional noised private information in the second period. In the first period, the informed and super-informed receive the same noisy signal and have the same trading strategy, while the uninformed would infer one noisy signal from equilibrium prices and quantities. In the second period, the super-informed investor receives a second private signal that is more precise than the first one. The market infers the combination of two noisy signals, and with the knowledge of the first noisy signal, infers the second as well.