Value of Information in Competitive Economies with Incomplete Markets

Rohit Rahi () and Piero Gottardi ()

FMG Discussion Papers from Financial Markets Group

Abstract: A substantial literature addresses the negative effect 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 sufficiently incomplete. More specifically, for any competitive equilibrium of a generic economy, we can find a finer information structure such that an allocation that is resource feasible and measurable with respect to thisinformation ex-post Pareto dominates the given equilibrium allocation.Journal of Economic Literature Classification Numbers: D52, D60, D80.Keywords: Competitive Equilibrium, Incomplete Markets, Value of Information.

Date: 2007-09

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Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2007)
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