Information acquisition, price informativeness, and welfare

• 成果类型: Article
• 署名作者: Rahi, Rohit; Zigrand, Jean-Pierre
• 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.2018.07.007
• 发表日期: 2018
• 页码: 558-593
• 关键词: Heterogeneous valuations; information acquisition; Learning externalities; welfare

摘要

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in the equilibrium price. We study the learning externalities that arise in this setting, and in particular their implications for price informativeness and welfare. When private signals are noisy, so that agents rely more on the information conveyed by prices, discouraging information gathering may be Pareto improving. Complementarities in information acquisition can lead to multiple equilibria. (C) 2018 The Authors. Published by Elsevier Inc.