9:00 AM to 10:30 AM: Some Preliminaries
Reading: Conditional Distributions and Bayesian Updating (Teaching Note)
Equilibrium (Teaching Note)
Negative Exponential Utility (Teaching Note for the Grossman and Stiglitz (1980) paper)
10:45 AM to Noon: Asymmetric Information in Capital Markets – Classic Models
Illustrative Problems
Kyle (1985), Illustrative Model
Grossman and Stiglitz (1980), Illustrative Model
Papers: Kyle, A., “Continuous Auctions and Insider Trading,” Econometrica, 1985. (Focus in the initial part of this paper.)
Grossman and Stiglitz, “On the Impossibility of Information Efficient Markets,” American Economic Review, 1980.
12:15 PM to 3:30 PM: Lunch and Problems
Strategic Information Collection
Problem: What Information Should I Chase?
Paper: Fischer, P. and R. Verrecchia, “Correlated Forecast Errors,” Journal of Accounting Research, 1998.
Endogenous Heuristic Response to Disclosure
Problem: Rational Drift? (Sort of)
Paper: Fischer, P. and R. Verrecchia, “Public Information and Heuristic Trade,” Journal of Accounting and Economics, 1999.
3:30 PM to 5:00 PM: Discussion of Papers/Problems