Speculative Trade and the Value of Public Information
Working Papers from Department of Economics, City University London
In environments with expected utility, it has long been established that speculative trade cannot occur (Milgrom and Stokey ), and that the value of public information is negative in economies with risk-sharing and no aggregate uncertainty (Hirshleifer , Schlee ). We show that these results are still true even if we relax expected utility, so that either Dynamic Consistency (DC) or Consequentialism is violated. We characterise no speculative trade in terms of a weakening of DC and find that Consequentialism is not required. Moreover, we show that a weakening of both DC and Consequentialism is sufficient for the value of public information to be negative. We therefore generalise these important results for convex preferences which contain several classes of ambiguity averse preferences.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (91) Track citations by RSS feed
Downloads: (external link)
Journal Article: Speculative trade and the value of public information (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cty:dpaper:20/04
Access Statistics for this paper
More papers in Working Papers from Department of Economics, City University London Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,. Contact information at EDIRC.
Bibliographic data for series maintained by Research Publications Librarian ().