Delay and information aggregation in stopping games with private information

Pauli Murto and Juuso Välimäki

Journal of Economic Theory, 2013, vol. 148, issue 6, 2404-2435

Abstract: We consider equilibrium timing decisions in a model with a large number of players and informational externalities. The players have private information about a common payoff parameter that determines the optimal time to invest. They learn from each other in real time by observing past investment decisions. We develop new methods of analysis for such large games, and we give a full characterization of symmetric equilibria. We show that the equilibrium statistical inferences are based on an exponential learning model. Although the beliefs converge to truth, learning takes place too late. Ex-ante welfare is strictly between that without observational learning and that with full information.

Keywords: Information aggregation; Observational learning; Dynamic games (search for similar items in EconPapers)
JEL-codes: C73 D82 D83 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:148:y:2013:i:6:p:2404-2435

DOI: 10.1016/j.jet.2013.07.022

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