Strategic complementarity of information acquisition in a financial market with discrete demand shocks
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endogenous information strategic complementarity financial markets aggregation of information G - Financial Economics/G.G1 - General Financial Markets/G.G1.G10 - GeneralSujets proches
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Christophe Chamley, « Strategic complementarity of information acquisition in a financial market with discrete demand shocks », Archive Ouverte d'INRAE, ID : 10670/1.ydto6t
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Résumé
A simple model of financial market with rational learning and without friction is presented in which the value of private information increases with the mass of informed individuals, contrary to the property presented by Grossman and Stiglitz (1980). The key assumption is the possibility of independent discrete shocks on the fundamental value and on an exogenous demand.