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The acquisition of information in a dynamic market (*)

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Author Info
Jonathan B. Berk (School of Business Administration, University of Washington, Box 353200, Seattle, WA 981953200, USA)
Abstract

This paper models the information acquisition process in an intertemporal rational expectations framework. It demonstrates that equilibria do not generally exist in intertemporal economies in which agents are assumed to know the state-contingent price path and the information acquisition process is endogenous. In addition, an example of a fully revealing equilibrium in which agents pay a strictly positive amount for information is provided. Finally, we also show that it is possible for an equilibrium to exist in which agents choose to purchase information even if all agents, including the agents who purchased the information, are made strictly worse off by the purchase.

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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 9 (1997)
Issue (Month): 3 ()
Pages: 441-451
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Handle: RePEc:spr:joecth:v:9:y:1997:i:3:p:441-451

Note: Received: December 9, 1994 revised version December 1, 1995
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  1. Juan Hatchondo, 2004. "The value of information with heterogeneous agents and partially revealing prices," Econometric Society 2004 North American Summer Meetings 175, Econometric Society. [Downloadable!]
  2. Juan Carlos Hatchondo, 2005. "The value of information with heterogeneous agents and partially revealing prices," Working Paper 05-06, Federal Reserve Bank of Richmond. [Downloadable!]
  3. Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge. [Downloadable!]
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