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Risk-neutral investors do not acquire information

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  • Muendler, Marc-Andreas

Abstract

Give 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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  • Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.
    • Handle: RePEc:eee:finlet:v:5:y:2008:i:3:p:156-161
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    1. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.

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