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Value of information in competitive economies with incomplete markets

Gottardi, Piero and Rahi, Rohit ORCID: 0000-0001-6887-9160 (2010) Value of information in competitive economies with incomplete markets. Financial Markets Group Discussion Papers (658). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

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.

Item Type: Monograph (Discussion Paper)
Official URL: https://www.fmg.ac.uk/
Additional Information: © 2010 The Authors
Divisions: Finance
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
JEL classification: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets
D - Microeconomics > D6 - Welfare Economics > D60 - General
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
Date Deposited: 04 Jul 2023 08:42
Last Modified: 14 Sep 2024 04:32
URI: http://eprints.lse.ac.uk/id/eprint/119083

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