Value of information in competitive economies with incomplete markets

Piero Gottardi and Rohit Rahi

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We study the value of information in a competitive economy in which agents trade in asset markets to reallocate risk. We characterize the kinds of information that allow a welfare improvement when portfolios can be freely reallocated. We then compare competitive equilibria before and after a change in information. We show that generically, if markets are sufficiently incomplete, the welfare effects are completely arbitrary: there typically exist changes in information that make all agents better off, or all agents worse off.

Keywords: competitive equilibrium; incomplete markets; value of information (search for similar items in EconPapers)
JEL-codes: D52 D60 D80 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2010-08-01
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http://eprints.lse.ac.uk/119083/ Open access version. (application/pdf)

Related works:
Journal Article: VALUE OF INFORMATION IN COMPETITIVE ECONOMIES WITH INCOMPLETE MARKETS (2014)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2010)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2010)
Working Paper: Value of information in competitive economies with incomplete markets (2007)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2007)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:119083

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