The demand for information: More heat than light

• 成果类型: Article
• 署名作者: Keppo, Jussi; Moscarini, Giuseppe; Smith, Lones
• 署名单位: University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; Yale University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.03.003
• 发表日期: 2008
• 页码: 21-50
• 关键词: heat equation; INFORMATION; garbling; demand curve; elasticity; martingale; non-concavity; option pricing; Diffusion process; Ito's lemma

摘要

This paper produces a theory of value for Gaussian information with two states and two actions, tracing the solution of the option pricing formula, but for the process of beliefs. We derive explicit formulas for the value of information. The marginal value is convex and rising, concave and peaking, and finally convex and falling. As the price falls, demand is initially zero, and eventually logarithmic. Its elasticity exceeds one, and falls to zero with the price. Demand is hill-shaped in beliefs, zero at extremes. Our results approximate models where information means the sample size for weak discrete informative signals. (C) 2007 Elsevier Inc. All rights reserved.