We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information—the betweenness property—that is both necessary and sufficient for information aggregation. The characterization provides novel predictions about equilibrium prices in complex, multidimensional environments.
- competitive markets
- information aggregation
- rational expectations equilibrium
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)