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Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example

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Author Info
Tallon, Jean-Marc

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Abstract

The author develops a simple example of a model in which agents have asymmetric information and preferences that are represented by a nonadditive expected utility function. The a priori uninformed agent, after observing the equilibrium price, has conditional beliefs that remain nonadditive. Then, even when the equilibrium price function is fully revealing (i.e., one-to-one), it may be worthwhile for an a priori uninformed agent to buy 'redundant' private information if he is more confident in that information than in that revealed by the price system. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Publisher Info
Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 39 (1998)
Issue (Month): 2 (May)
Pages: 329-42
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Handle: RePEc:ier:iecrev:v:39:y:1998:i:2:p:329-42

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  1. Sujoy Mukerji & Jean-Marc Tallon, 2002. "Ambiguity Aversion and the Absence of Wage Indexation," Economics Series Working Papers 111, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  2. Luca Rigotti & Chris Shannon, 2001. "Uncertainty and Risk in Financial Markets," Department of Economics, Working Paper Series 1000, Department of Economics, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    Other versions:
  3. Alberto Naudon & Matías Tapia & Felipe Zurita, 2004. "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo 262, Instituto de Economía. Pontificia Universidad Católica de Chile.. [Downloadable!]
    Other versions:
  4. J L Ford, David Kelsey and W Pang, 2005. "Ambiguity in Financial Markets: Herding and Contrarian Behaviour," Discussion Papers 05-11, Department of Economics, University of Birmingham. [Downloadable!]
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