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dc.contributor.authorMuendler, Marc-Andreasen
dc.date.accessioned2009-01-28T15:52:58Z-
dc.date.available2009-01-28T15:52:58Z-
dc.date.issued2005-
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 riskaverse, 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 isremoved. 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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x1436en
dc.subject.jelD81en
dc.subject.jelG14en
dc.subject.jelD83en
dc.subject.ddc330en
dc.subject.stwBörsenkursen
dc.subject.stwFinanzmarkten
dc.subject.stwInformationsverhaltenen
dc.subject.stwRationale Erwartungen
dc.subject.stwPortfolio-Managementen
dc.subject.stwGleichgewichten
dc.subject.stwEffizienzmarkttheseen
dc.subject.stwTheorieen
dc.titleRational information choice in financial market equilibrium-
dc.typeWorking Paperen
dc.identifier.ppn485157586en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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