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Information Acquisition in Financial Markets

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Author Info
Barlevy, Gadi
Veronesi, Pietro

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Abstract

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. Copyright 2000 by The Review of Economic Studies Limited

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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 67 (2000)
Issue (Month): 1 (January)
Pages: 79-90
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Handle: RePEc:bla:restud:v:67:y:2000:i:1:p:79-90

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527

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This page was last updated on 2009-11-22.


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