Asset Pricing under Asymmetric Information

This book develops the conceptual foundations required for the analysis of markets with asymmetric information, and uses them to provide a clear survey and synthesis of the theoretical literature on bubbles, market microstructure, crashes, and herding in financial markets. The book is not only useful to the beginner who requires a guide through the rapidly developing literature, but provides insight and perspective that the expert will also appreciate. MichaelBrennan, Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. President of the AmericanFinance Association, 1989This book provides an excellent account of how bubbles and crashes and various other phenomena can occur. Traditional asset pricing theories have assumed symmetric information. Including asymmetric information radically alters the results that are obtained. The author takes a complex subject and presents it in a clear and concise manner. I strongly recommend it for anybody seriously interested in the theory of asset pricing. Franklin Allen, Nippon LifeProfessor of Finance and Economics at the Wharton School, University of Pennsylvannia, and President of the American Finance Association, 2000This timely book provides an invaluable map for students and researchers navigating the literature on market microstructure, and more generally, on equilibrium with asymmetric information. It will become highly recommended reading for graduate courses in the economics of uncertainty and in financial economics. Hyun Song Shin, Professor of Finance at the London School of Economicsr

Markus K. Brunnermeier is an Assistant Professor in the Department of Economics at Princeton University, where he teaches courses in financial economics. He was previously a member of the Financial Markets Group at the London School of Economics.