Value of information in competitive economies with incomplete markets
Gottardi, P. & Rahi, R.
(2007).
Value of information in competitive economies with incomplete markets.
(Financial Markets Group Discussion Papers 596).
Financial Markets Group, The London School of Economics and Political Science.
(2007).
Value of information in competitive economies with incomplete markets.
(Financial Markets Group Discussion Papers 596).
Financial Markets Group, The London School of Economics and Political Science.
A substantial literature addresses the negative eect on welfare of the release of information in a competitive market economy. We show that the value of information in this setting is typically positive if asset markets are suciently incomplete. More specically, for any competitive equilibrium of a generic economy, we can nd a ner information structure such that an allocation that is resource feasible and measurable with respect to this information ex- post Pareto dominates the given equilibrium allocation.