Risk-neutral investors do not acquire information
AbstractGive a risk-neutral investor the choice to acquire a costly signal prior to asset market equilibrium. She refuses to pay for the signal under general conditions. The reason is that a risk-neutral investor is indifferent between a risky asset or a safe bond in optimum and expects the same return to her portfolio ex ante, whether or not she acquires information. Risk neutrality thus implies the absence of costly information from asset price in competitive asset markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Finance Research Letters.
Volume (Year): 5 (2008)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/frl
Information acquisition Risk neutrality Portfolio choice;
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