On "Acquisition of Information in Financial Markets"

Christophe Chamley

The Review of Economic Studies, 2008, vol. 75, issue 4, 1081-1084

Abstract: 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. Copyright 2008, Wiley-Blackwell.

Date: 2008
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