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dc.contributor.authorMuendler, Marc-Andreasen_US
dc.date.accessioned2009-01-28T15:52:58Z-
dc.date.available2009-01-28T15:52:58Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/18800-
dc.description.abstractAdding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal utility value that falls in their number if and only if investors are risk averse, asset markets large, and variance-mean ratios of asset returns high in fully revealing rational expectations equilibrium. Expected asset price increases in the number of signals so that expected excess return drops. The diminishing excess return prevents Bayesian investors from unbounded information demand even if signals are costless, unless the riskfree asset is removed. Signals mutually benefit homogeneous investors because revealing asset price permits updating so that a Pareto criterion judges competitive equilibrium as not sufficiently informative. However, asset price responses make incentives for signal acquisition dependent on portfolios so that welfare and distributional consequences become intricately linked when investors are heterogeneous.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesCESifo working papers 1436en_US
dc.subject.jelD81en_US
dc.subject.jelG14en_US
dc.subject.jelD83en_US
dc.subject.ddc330en_US
dc.subject.stwBörsenkursen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwRationale Erwartungen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwGleichgewichten_US
dc.subject.stwEffizienzmarkttheseen_US
dc.subject.stwTheorieen_US
dc.titleRational information choice in financial market equilibriumen_US
dc.typeWorking Paperen_US
dc.identifier.ppn485157586en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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