Estimating the Value of Information

• 成果类型: Article
• 署名作者: Kadan, Ohad; Manela, Asaf
• 署名单位: Washington University (WUSTL)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy087
• 发表日期: 2019
• 页码: 951
• 关键词: lifetime portfolio selection; long-run; risk-aversion; prices; acquisition; RESOLUTION; MARKETS; WEALTH; uncertainty; consumption

摘要

We derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation. We study the value of both private and public information and break it into its instrumental and psychic parts. To illustrate, we estimate and rank the values of leading macroeconomic indicators (GDP, employment, etc.). Using variations in option prices, we find that consumer-investors with conventional preference parameters would pay 3 to 5 bps of their wealth for a one-time private peek into these indicators. Such signals provide substantial instrumental value but a minor psychic value. Received August 29, 2016; editorial decision June 6, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.