Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 30, 2021 erstellt
Beschreibung:
In the standard perfectly competitive model of costly information acquisition, private information always has a strictly positive value as long as prices are not perfectly revealing. We show that with imperfect competition, characterized by a finite number of traders, the value of private information can be negative, resulting in a zero-information equilibrium even if information is free. This zero-information equilibrium arises when the price is sufficiently noisy and Sharpe ratio is sufficiently high and is caused by trading becoming increasingly aggressive as the informed trader's private-signal precision increases