Autori
Rahi, RohitGottardi, PieroTitolo
Value of Information in Competitive Economies with Incomplete MarketsPeriodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2010 - Fascicolo:
34 - Pagina iniziale:
1 - Pagina finale:
35We 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.
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