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:	01 Apr 2024 08:00
URI:	http://eprints.lse.ac.uk/id/eprint/119083

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