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The negative value of public information in the Glosten–Milgrom model

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  • Pancs, Romans

Abstract

In the standard market-microstructure model of Glosten and Milgrom (1985), public information can have negative social value. Equivalently, an increase in informational asymmetry can raise the total surplus from trade.

Suggested Citation

  • Pancs, Romans, 2014. "The negative value of public information in the Glosten–Milgrom model," Economics Letters, Elsevier, vol. 124(2), pages 207-210.
  • Handle: RePEc:eee:ecolet:v:124:y:2014:i:2:p:207-210
    DOI: 10.1016/j.econlet.2014.05.014
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    References listed on IDEAS

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    1. Manuel Amador & Pierre-Olivier Weill, 2010. "Learning from Prices: Public Communication and Welfare," Journal of Political Economy, University of Chicago Press, vol. 118(5), pages 866-907.
    2. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    3. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-574, September.
    4. Stephen Morris & Hyun Song Shin, 2002. "Social Value of Public Information," American Economic Review, American Economic Association, vol. 92(5), pages 1521-1534, December.
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    More about this item

    Keywords

    Market microstructure; Negative social value of public information; Glosten–Milgrom;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D02 - Microeconomics - - General - - - Institutions: Design, Formation, Operations, and Impact
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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