Journal Article

Information Acquisition in Financial Markets

Gadi Barlevy and Pietro Veronesi

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 67, issue 1, pages 79-90
Published in print January 2000 | ISSN: 0034-6527
Published online January 2000 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.1111/1467-937X.00122
Information Acquisition in Financial Markets

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Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain closed-form solutions. We present an example with alternative assumptions, and demonstrate that some of the conclusions from previous literature fail to hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore be a strategic complement, allowing for the possibility of multiple equilibria.

Journal Article.  0 words. 

Subjects: Economics

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