Arbitrage and Risk Sharing in Multi-Period Markets

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.