مقاله انگلیسی رایگان در مورد بازده خالص و کارایی بازار در گروسمن و استیگلیتز (الزویر)

Grossman and Stiglitz (GS, 1980) develop a competitive equilibrium asset pricing model with asymmetric information between informed traders who acquire a private signal about the stock payoff at a cost and uninformed traders who extract a noisy version of the private signal freely from the stock price. Theorem 5 of GS shows that when the private signal is perfect, there is no equilibrium, leading to the famous result on the impossibility of informationally efficient markets. In part (b) of Theorem 6, GS further show that when the private signal tends to be perfect, the stock price tends to be fully revealing, but the net trade, which is equal to informed traders’ net demand or uninformed traders’ net supply, converges to zero. GS then conclude that “Thus, the result that competitive equilibrium is incompatible with informationally efficient markets should be interpreted as meaning that speculative markets where prices reveal a lot of information will be very thin because it will be composed of individuals with very similar beliefs.” GS further conclude that when the private signal is perfect, the market breaks down naturally due to lack of trade.