On "Acquisition of information in Financial Markets"

Christophe Chamley ()
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Christophe Chamley: PJSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, BU - Boston University [Boston]

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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.

Date: 2008-12
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Citations: View citations in EconPapers (3)

Published in Review of Economic Studies, 2008, 75 (4), pp.1081-1084. ⟨10.1111/j.1467-937X.2008.00502.x⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00754259

DOI: 10.1111/j.1467-937X.2008.00502.x

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