Strategic complementarity of information acquisition in a financial market with discrete demand shocks
Pre-print, Working paper: A simple model of financial market with rational learning and without friction is presented in which the value of private information increases with the mass of informed individuals, contrary to the property presented by Grossman and Stiglitz (1980). The key assumption is the possibility of independent discrete shocks on the fundamental value and on an exogenous demand.
Keywords JEL
Keywords
- Endogenous information
- Strategic complementarity
- Financial markets
- Aggregation of information
Internal reference
- PSE Working Papers n°2007-45
URL of the HAL notice
Version
- 1