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Ricerche in: Ricerche fisico-matematiche applicate
Mathematical Models for Finance - Microstructure of Financial Markets

Mathematical models for the pricing of risky assets based on rational expectations equilibrium (REE) paradigm encounter serious difficulties in explaining the so called well documented “market anomalies” (equity premium puzzle, excess volatility in stock returns and price-dividend ratios, predictability of stock returns), which reduce the efficiency of real financial markets. To overcome these difficulties, since the second half of the '80s, scholars have introduced different types of irrational agents in rational expectation models and, more recently have started to consider conditions of asymmetric or differential information among the rational agents of the models.

Rational Expectations, Risk Aversion, and Efficiency of Stock Prices
  We reconsider a stock pricing model with asymmetrically informed risk-averse investors, presented by Wang (1993). Wang determines a single linear equilibrium of the model, which is ex-ante semi-strongly efficient, and focuses on the study of its properties. The existence of other equilibria is not addressed. Dropping Wang's ex-ante characterization of the equilibrium price of the stock and investors' trading strategies, we find that the model allows multiple linear equilibria among which weakly efficient equilibria, inefficient equilibria and even additional equilibria of Wang's type. Moreover, on the increasing of the exogenous parameters of the model depicting the market risk to the investors' eyes, the investors' expected utility of consumption in low-efficiency equilibria might be preferable to the corresponding expected utility in Wang's equilibrium. Our interpretation is that under a high perception of market risk, risk-averse investors might rationally prefer to stress the misleading content of their trading strategies, which ultimately causes a loss of efficiency in market equilibria.