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SUMMARY:Multi-Asset Noisy Rational Expectations Equilibrium with Contingen
 t Claims - Georgy Chabakauri is an associate professor of Finance at the L
 SE
DTSTART:20200528T120000Z
DTEND:20200528T130000Z
UID:TALK142528@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:We study a noisy rational expectations equilibrium in a multi-
 asset economy populated by informed and uninformed investors and noise tra
 ders. The assets can include state contingent claims such as Arrow-Debreu 
 securities\, assets with only positive payoffs\, options or other derivati
 ve securities. The probabilities of states depend on an aggregate shock\, 
 which is observed only by the informed investor. We derive a three-factor 
 CAPM with asymmetric information\, establish conditions under which asset 
 prices reveal information about the shock\, and show that information asym
 metry amplifies the effects of payoff skewness on asset returns. We also f
 ind that volatility derivatives make incomplete markets effectively comple
 te\, and their prices quantify market illiquidity and shadow value of info
 rmation to uninformed investors.
LOCATION:Online
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