Abstract
This chapter extends the single period analysis in the prior chapter to a setting with multiple consumption dates and sequential trading of long-lived securities. The information system publicly reports a signal at each date. It is taken as given in this chapter, whereas in Chapter 7 we explore the impact of varying the public information system. Both Chapters 6 and 7 continue to examine pure exchange settings, i.e., production choice is exogenous and independent of the information system. However, in Chapter 8 we consider settings with endogenous production choices.
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Christensen, P.O., Feltham, G.A. (2003). Arbitrage and Risk Sharing in Multi-Period Markets. In: Economics of Accounting. Springer Series in Accounting Scholarship, vol 1. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-1133-5_6
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DOI: https://doi.org/10.1007/978-1-4615-1133-5_6
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-23932-3
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