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The Appeal of Information Transactions

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Abstract

An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness.

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Bibliographic Info

Paper provided by Brown University, Department of Economics in its series Working Papers with number 2012-13.

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Date of creation: 2012
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Handle: RePEc:bro:econwp:2012-13

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Postal: Department of Economics, Brown University, Providence, RI 02912

Related research

Keywords: informativeness; information transactions; Kullback-Leibler di- vergence; relative entropy; decision under uncertainty; investment; Blackwell ordering.;

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  1. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011. "Entropy and the value of information for investors," PSE Working Papers, HAL halshs-00648884, HAL.
  2. Olivier Gossner, 2011. "Simple Bounds on the Value of a Reputation," Econometrica, Econometric Society, Econometric Society, vol. 79(5), pages 1627-1641, 09.
  3. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 119(4), pages 617 - 638.
  4. Susan Athey & Jonathan Levin, 1998. "The Value of Information In Monotone Decision Problems," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 98-24, Massachusetts Institute of Technology (MIT), Department of Economics.
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