Strategic complementarity of information in financial markets with large shocks

Journal article: In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.

Author(s)

Christophe Chamley

Journal
  • Annals of Finance
Date of publication
  • 2010
Keywords JEL
D82 G12 G14
Keywords
  • Endogenous information
  • Strategic complementarity
  • Financial markets
  • Aggregation of information
Pages
  • 137-145
URL of the HAL notice
Version
  • 1
Volume
  • 6