Autori
Rahi, Rohit
Gottardi, Piero

Titolo
Value of Information in Competitive Economies with Incomplete Markets
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2010 - Fascicolo: 34 - Pagina iniziale: 1 - Pagina finale: 35

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.




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