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The Appeal of Information Transactions

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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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
Contact details of provider: Postal: Department of Economics, Brown University, Providence, RI 02912

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  1. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2010. "Entropy and the value of information for investors," Levine's Working Paper Archive 661465000000000355, David K. Levine.
  2. Jonathan Levin & Susan Athey, 2001. "The Value of Information in Monotone Decision Problems," Working Papers 01003, Stanford University, Department of Economics.
  3. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617 - 638.
  4. Olivier Gossner, 2011. "Simple Bounds on the Value of a Reputation," Econometrica, Econometric Society, vol. 79(5), pages 1627-1641, 09.
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