Value of Information in Competitive Economies with Incomplete Markets

Piero Gottardi and Rohit Rahi ()

FMG Discussion Papers from Financial Markets Group

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.

Date: 2010-08
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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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