Strategic Information Acquisition in Capital Markets*

Andreas Szczutkowski

The Japanese Economic Review, 2001, vol. 52, issue 3, 316-327

Abstract: A simple model of an asset market is presented, where agents are asymmetrically informed and hence information is transmitted through the price system. Prior to the trading period, a group of traders is given the opportunity to decide in a collusive arrangement whether they want to undertake a (costless) analysis which yields information about the future dividends of a risky asset. It will be shown that the fully rational and risk‐averse insiders can do better without the information, if the dividend volatility of the risky asset is sufficiently low. JEL Classification Numbers: D82, G14.

Date: 2001
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