Abstract

http://ssrn.com/abstract=146436
 
 

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Information Acquisition in Financial Markets


Gadi Barlevy


Federal Reserve Bank of Chicago; National Bureau of Economic Research (NBER); Institute for the Study of Labor (IZA)

Pietro Veronesi


University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)


Review of Economic Studies

Abstract:     
Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain closed-form solutions. We present an example with alternative assumptions, and demonstrate that some of the conclusions from previous literature fail to hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore be a strategic complement, allowing for the possibility of multiple equilibria.

JEL Classification: C14, D82, D84

Accepted Paper Series


Not Available For Download

Date posted: February 9, 1999  

Suggested Citation

Barlevy, Gadi and Veronesi, Pietro, Information Acquisition in Financial Markets. Review of Economic Studies. Available at SSRN: http://ssrn.com/abstract=146436

Contact Information

Gadi Barlevy
Federal Reserve Bank of Chicago ( email )
230 South LaSalle Street
Chicago, IL 60604
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Institute for the Study of Labor (IZA)
P.O. Box 7240
Bonn, D-53072
Germany
Pietro Veronesi (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-6348 (Phone)
773-702-0458 (Fax)
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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