Strategic complementarity of information acquisition in a financial market with discrete demand shocks

Pré-publication, Document de travail: 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.

Auteur(s)

Christophe Chamley

Date de publication
  • 2007
Mots-clés JEL
G10
Mots-clés
  • Endogenous information
  • Strategic complementarity
  • Financial markets
  • Aggregation of information
Référence interne
  • PSE Working Papers n°2007-45
Version
  • 1