Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis

Rational Disposition Effects: Theory and Evidence

“…The equilibrium concept we use is that of a rational expectations equilibrium (REE), developed by Grossman (1976), Hellwig (1980), andBray (1981). Formally, an REE is defined by prices P 0 and P 1 , and by demand functions of informed and uninformed investors, such that: (i) for each pricetaking investor, the trades specified by her demand function at a given date maximize her expected utility of consumption, subject to a budget constraint and available information, including past and current market prices; and (ii) for every combination of signals and supply shocks, markets clear.…”

Can Islamic injunctions indemnify the structural flaws of securitized debt?

“…It is 'self-fulfilling' in the sense that the economic agents form correct expectations, given the pricing model and information (Bray, 1981).…”

The Inventory Problem with A Non-Symmetric Loss Function

“…Note 2.This model differs from the other uncertainty models in the sense that demand is the main source of uncertainty here unlike in the other works, for example, Grossman and Stiglitz (1976) and Bray (1981), where uncertainty is introduced in the form of random supply that prevents price from acting as a price statistic. The major thrust of this model is not to establish conditions under which prices reveal information which can be equivalent to perfect information but to improve the estimate of the parameters determining demand.…”