On "Acquisition of information in Financial Markets"

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HALSHS : archive ouverte en Sciences de l’Homme et de la Société

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This document is linked to :
info:eu-repo/semantics/altIdentifier/doi/10.1111/j.1467-937X.2008.00502.x

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Archives ouvertes

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Centre pour la communication scientifique directe

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G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading

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Public markets Pattern Model

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Christophe Chamley, « On "Acquisition of information in Financial Markets" », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10.1111/j.1467-937X.2008.00502.x

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Abstract 0

In their paper "Information Acquisition in Financial Markets" (this journal, 2000), Barlevy and Veronesi present a model of a one-period financial market, and claim that for an open set of parameter values, the value of information increases with the mass of informed agents. That claim is shown here to be false. The property of strategic substitution is robust in their model.

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