Merton (1987)

Merton, Robert. "A Simple Model of Capital Market Equilibrium with Incomplete Information." Journal of Finance, July, 1987.

LK comment: The argument in Angel (1997) is largely based on tools developed in this work.

Link: https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1987.tb04565.