Information acquisition with heterogeneous valuations

• 成果类型: Article
• 署名作者: Rahi, Rohit
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105155
• 发表日期: 2021
• 关键词: Heterogeneous valuations; information acquisition; Learning externalities; strategic complementarities; welfare

摘要

We study the market for a risky asset with uncertain heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information and making inferences from the equilibrium price. As agents of one type gather more information, they pull the price closer to their valuation and further away from the valuations of other types. Thus they exert a negative learning externality on other types. This in turn implies that a lower cost of information for one type induces all agents to acquire more information. Private information production is typically not socially optimal. In the case of two types who differ in their cost of information, we can always find a Pareto improvement that entails an increase in the aggregate amount of information, with a higher proportion produced by the low-cost type. Crown Copyright (C) 2020 Published by Elsevier Inc. All rights reserved.