TY  - JOUR
AU  - Gale,Ian
AU  - Stiglitz,Joseph
TI  - A Simple Proof That Futures Markets are Almost Always Informationally Inefficient
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3209
PY  - 1989
Y2  - December 1989
UR  - http://www.nber.org/papers/w3209
L1  - http://www.nber.org/papers/w3209.pdf
N1  - Author contact info:
Joseph E. Stiglitz
Uris Hall, Columbia University
3022 Broadway, Room 814
New York, NY  10027
Tel: 212/854-0671
Fax: 212/662-8474
E-Mail: jes322@columbia.edu
AB  - Previous work which showed that prices could aggregate perfectly the diverse information of traders depended critically on the assumption that all agents had constant absolute risk utility. We show that either all agents must have constant absolute risk aversion utility, or all must have constant relative aversion in order for the strong form of the efficient market hypothesis to hold generically.
ER  -